Multivariate TVaR-based risk decomposition for vector-valued portfolios
Year of publication: |
December 2016
|
---|---|
Authors: | Mailhot, Mélina ; Mesfioui, Mhamed |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 4.2016, 4, p. 1-16
|
Subject: | multivariate tail value-at-risk | risk contribution | capital allocation | risk decomposition | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Risiko | Risk | Risikomanagement | Risk management | Dekompositionsverfahren | Decomposition method | Multivariate Analyse | Multivariate analysis |
Type of publication: | Article |
---|---|
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks4040033 [DOI] hdl:10419/167898 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
So, Mike Ka-pui, (2022)
-
Multivariate matrix-exponential affine mixtures and their applications in risk theory
Cheung, Eric C. K., (2022)
-
The center of a convex set and capital allocation
Grechuk, Bogdan, (2015)
- More ...
-
Multivariate TVaR-based risk decomposition for vector-valued portfolios
Mailhot, Mélina, (2016)
-
Cossette, Hélène, (2012)
-
Multivariate geometric expectiles
Herrmann, Klaus J., (2018)
- More ...