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In this paper, we investigate the asymptotic behavior of the portfolio diversification ratio based on Value …-at-Risk (quantile) under dependence uncertainty, which we refer to as "worst-case diversification limit." We show that the worst …-case diversification limit is equal to the upper limit of the worst-case diversification ratio under mild conditions on the portfolio …
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This chapter is structured in three parts. The first part outlines the methodological steps, involving both theoretical and empirical work, for assessing whether an observed allocation of resources across countries is efficient. The second part applies the methodology to the long-run allocation...
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