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Financial Risk Management: Portfolio Optimization.

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Figure

Figure 2.1: Standard GST distribution with λ = 0.5 and ν = 4, 10, 20
Figure 2.2: Standard stable distribution with β= 0, α = 2, 1.7, 1.2
Figure 2.3: Standard stable distribution with α = 1.8 and β
Figure 2.4: Rate of loss time series for 5 stocks and S&P500 index
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Time Series Models Results with Time Dependence

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