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Journal: Statistics and Decisions
Found
3 papers
in total
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Mean-risk optimization for index tracking
2006,
Nakano Yumiharu
This paper presents an analysis of the tracking problems of multiple indices with...
Risk measurement with equivalent utility principles
2006,
Dhaene Jan
Risk measures have been studied for several decades in the actuarial literature, where...
On the optimal risk allocation problem
2006,
Burgert Christian
The optimal risk allocation problem or equivalently the problem of risk sharing is the...
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