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Persistent link: https://www.econbiz.de/10013341847
In this paper, I construct an optimal portfolio by minimizing the expected tail loss (ETL) derived from the forward-looking natural distribution of the Recovery Theorem (RT). The RT is one of the first successful attempts at deriving an unparameterized natural distribution of future asset...
Persistent link: https://www.econbiz.de/10012894878