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Tag Archives: tail dependency
Dependencies and aggregations
Wide diversification is only required when investors do not understand what they are doing. – Warren Buffett Nevertheless in the insurance industry the benefits of diversification are significant: the QIS5 capital requirement decreased by 35.1% due to diversification. Diversification is … Continue reading
Posted in Actuary, Articles, English
Tagged 1/N strategy, aggregation, copula, correlation, dependencies, diversification, Markowitz, Sharpe ratio, tail dependency
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ActuaryAbroad 