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J.Franke & W. Hardle & G. Stahl – Measuring Risk In Complex Stochastic Systems
J.Franke, W. Hardle, G. Stahl - Measuring Risk in Complex Stochastic SystemsSince the seminal of Markowitz (1952) and Sharpe (1964) capital allocation within portfolios is based on the variance/covariance analysis. Even the introduction of Value-at-Risk in...
on Jun 10, 2019