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Using a family of modified Weibull distributions, encompassing both sub-exponentials and super-expo-nentials, to parameterize the marginal distributions of asset returns and their multivariate generalizations with Gaussian copulas, we offer exact formulas for the tails of the distribution P (S) of returns S of a portfolio of arbitrary composition of these(More)
independence * The authors acknowledge helpful discussions and exchanges with L. Eeckhoudt, H. Schlesinger and B. Versaevel. All remaining errors are ours. Abstract We investigate the impact of a non-financial background risk˜ε on the preference rankings between two independent financial risks˜z 1 and˜z 2 for an expected-utility maximizer. More precisely,(More)
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