Portfolio construction based on implied correlation information and value at risk
Year of publication: |
2015
|
---|---|
Authors: | Rogel-Salazar, Jesús ; Tella, Roberto |
Published in: |
EconoQuantum : Revista de Economía y Negocios. - Zapopan, Jalisco : [Verlag nicht ermittelbar], ISSN 2007-9869, ZDB-ID 2572284-0. - Vol. 12.2015, 1, p. 125-144
|
Subject: | Implied correlation | Value at Risk | VaR | Portfolio construction | Risk | Theorie | Theory | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Risiko | Schätzung | Estimation | Risikomanagement | Risk management |
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