LIBROS DEL AUTOR: luca riccetti

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  • The Use of Copulas in Asset Allocation
    Luca Riccetti
    This study critically examines the limitations of the mean-variance criterion, developed by Markowitz, in portfolio allocation-particularly when returns deviate from Normality. Since expected utility cannot always be accurately represented under non-Normal return distributions, the author explores whether the loss of optimality in using the mean-variance approach is significant...
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