Static and dynamic risk capital allocations with the Euler rule
Tim J. Boonen
| Year of publication: |
2019
|
|---|---|
| Authors: | Boonen, Tim J. |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 22.2019, 1, p. 1-15
|
| Subject: | dynamic capital allocation | Euler rule | proportional rule | simulation | value-at-risk (VaR) | Theorie | Theory | Risikomaß | Risk measure | Allokation | Allocation | Simulation | Portfolio-Management | Portfolio selection | VAR-Modell | VAR model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2019.420 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013177092