Risk contributions of lambda quantiles
A. Ince, I. Peri and S. Pesenti
| Year of publication: |
2022
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|---|---|
| Authors: | Ince, Akif ; Peri, Ilaria ; Pesenti, Silvana |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 22.2022, 10, p. 1871-1891
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| Subject: | Capital Allocation | Euler Allocation | Lambda Quantiles | Lambda Value-at-Risk | Risk Contribution | Theorie | Theory | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Risiko | Risk | Allokation | Allocation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2022.2092543 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013367959