Sébastien Page

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Scholarly Papers (1)

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The Myth of Diversification Reconsidered

MIT Sloan Research Paper No. 6257-21
Number of pages: 28 Posted: 11 Feb 2021
State Street Global Markets, Windham Capital Management, affiliation not provided to SSRN and State Street Associates
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Abstract:

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Bivariate normal distribution, conditional correlation, correlation asymmetry, correlation profile, exceedance correlation, full scale optimization, mean variance optimization, tail dependence