Extreme Risk, excess return and leverage: the LP formula.
Year of publication: |
2014-12
|
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Authors: | Marois, Olivier Le ; Mikhalevski, Julia ; Douady, Raphaël |
Institutions: | Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) |
Subject: | Asset allocation | extreme risk | CAPM | risk budgeting | equilibrium |
Extent: | application/pdf |
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Series: | Documents de travail du Centre d'Economie de la Sorbonne. - ISSN 1955-611X. |
Type of publication: | Book / Working Paper |
Notes: | 20 pages |
Classification: | G11 - Portfolio Choice |
Source: |
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