Bounds for joint portfolios of dependent risks

Ruschendorf, Ludger, Rueschendorf, Ludger, Puccetti, Giovanni, Rüschendorf, Ludger . Statistics & Decisions 2012. 29 (2) :107-132

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Bibtex

@article{CIS-269924,
  Author = {Ruschendorf, Ludger and Rueschendorf, Ludger and Puccetti, Giovanni and Rüschendorf, Ludger},
  Title = {Bounds for joint portfolios of dependent risks},
  Journal = {Statistics & Decisions},
  Volume = {29},
  Number = {2},
  Year = {2012},
  Pages = {107--132},
  Keywords = {Special issue containing contributions by participants of the conference ``Mathematical aspects of random systems and statistical mechanics'' in the honour of Leonid Pastur, Fréchet bounds, mass transportation theory, overlapping marginals}
}

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