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Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model

Young Shin Kim, Rosella Giacometti, Svetlozar T. Rachev, Frank J. Fabozzi, Domenico Mignacca. Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model. Annals OR, 201(1):325-343, 2012. [doi]

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