Georg Mainik, Ludger Rüschendorf. On optimal portfolio diversification with respect to extreme risks. Finance and Stochastics, 14(4):593-623, 2010. [doi]
@article{MainikR10,
title = {On optimal portfolio diversification with respect to extreme risks},
author = {Georg Mainik and Ludger Rüschendorf},
year = {2010},
doi = {10.1007/s00780-010-0122-z},
url = {http://dx.doi.org/10.1007/s00780-010-0122-z},
researchr = {https://researchr.org/publication/MainikR10},
cites = {0},
citedby = {0},
journal = {Finance and Stochastics},
volume = {14},
number = {4},
pages = {593-623},
}