Risk contribution is exposure times volatility times correlation : decomposing risk using the x-sigma-rho formula
Jose Menchero and Ben Davis
| Year of publication: |
2011
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|---|---|
| Authors: | Menchero, Jose ; Davis, Benjamin |
| Published in: |
The journal of portfolio management : a publication of Institutional Investor. - New York, NY : Pageant Media Ltd., ISSN 0095-4918, ZDB-ID 197145-1. - Vol. 37.2010/11, 2, p. 97-106
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| Subject: | Volatilität | Volatility | Risiko | Risk | Korrelation | Correlation | Zeit | Time | Portfolio-Management | Portfolio selection | Schätzung | Estimation | Risikomanagement | Risk management | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009273909