Abstract
ABSTRACTWe provide a computational framework for the selection of weights that minimize the expected shortfall of the aggregated risk . Contrary to classic and recent results, we neither restrict the marginal distributions nor the dependence structure of to any specific type. While the margins can be set to any absolutely continuous random variable with finite expectation, the dependence structure can be modelled by any absolutely continuous copula function. A real-world application to portfolio selection illustrates the usability of the new framework.
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