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A note on the large homogeneous portfolio approximation with the Student-t copula |
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| Authors: | Lutz Schloegl Dominic O’Kane |
| Institution: | (1) Fixed Income Quantitative Research, Lehman Brothers International (Europe), 25 Bank Street, E14 5LE London, UK |
| Abstract: | |
| Keywords: | Large portfolios Student-t distribution copula functions |
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