Browsing by author "Ibragimov, Rustam"
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Fat tails and copulas: limits of diversification revisited
Ibragimov, Rustam; Prokhorov, Artem; Mo, JingyuanPublished 2015-09-11We consider the problem of portfolio risk diversification in a Value-at-Risk framework with heavy-tailed risks and arbitrary dependence captured by a copula function. We use the power law for modelling the tails and ...Open AccessWorking Paper
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