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Subject
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Correlation 1 Korrelation 1 Portfolio selection 1 Portfolio-Management 1 Risiko 1 Risikomodell 1 Risk 1 Risk model 1 Theorie 1 Theory 1
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Free 1
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Book / Working Paper 1
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English 1
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Arrondel, Luc 1 Calvo Pardo, Hector F. 1
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DELTA Working Paper 1
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ECONIS (ZBW) 1
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Portfolio Choice With a Correlated Background Risk : Theory and Evidence
Arrondel, Luc; Calvo Pardo, Hector F. - 2007
In this paper, we extend the static portfolio choice problem with a small background risk to the case of small partially correlated background risks. We show that respecting the theories under which risk substitution appears, except for the independence of background risk, it is perfectly...
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