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~institution:"Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain"
~institution:"London School of Economics (LSE)"
~institution:"Springer Fachmedien Wiesbaden"
~person:"Erick, Rengifo"
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Erick, Rengifo
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Luc, BAUWENS
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Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain
London School of Economics (LSE)
Springer Fachmedien Wiesbaden
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Intra-Daily FX Optimal Portfolio Allocation
Luc, BAUWENS
;
Walid, BEN OMRANE
;
Erick, Rengifo
-
Institut de Recherche Économique et Sociale (IRES), …
-
2006
return subject to a
Value-at-Risk
(VaR) constraint. Based on intradaily data, the optimization procedure is carried out at …
Persistent link: https://www.econbiz.de/10004984688
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