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Quantitative Finance Volume 9, 2009 - Issue 5
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Research Papers

Portfolio diversification and value at risk under thick-tailednessFootnote†

Rustam Ibragimov Department of Economics, Harvard University, Littauer Center, 1805 Cambridge St., Cambridge, MA 02138, USACorrespondence[email protected]
Pages 565-580 | Received 28 Feb 2007, Accepted 10 Nov 2008, Published online: 18 Jun 2009

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