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A Comparison between Optimal Allocations Based on the Modified VaR and on a Utility-Based Risk Measure
Bodson, Laurent; Coën, Alain; Hübner, Georges
2008 • In Gregoriou, Greg N. (Ed.) The VaR Modeling Handbook: Practical Applications in Alternative Investing, Banking, Insurance, and Portfolio Management Book

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Final_BCH_MVaR_v15.doc

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