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diversification against the benefits in terms of the standard deviation of the returns. Suppose a safety first investor cares about …
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the benefits of portfolio diversification for downside risk in case returns are normally distributed with the case of fat …
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For more than three decades, empirical analysis of stochastic dominance was restricted to settings with mutually exclusive choice alternatives. In recent years, a number of methods for testing efficiency of diversified portfolios have emerged, which can be classified into three main categories:...
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