Baigent, G. Glenn - In: International Journal of Finance and Banking 1 (2014) 1, pp. 39-43
Menchero and Davis (2011) define X-Sigma-Rho as a risk metric that shows the marginal contribution to risk when a security is added to a portfolio of other securities. While insightful regarding risk, their work is incomplete because it does not consider the marginal contribution to return. This...