Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Fabozzi, Frank J. - In: Journal of Banking & Finance 37 (2013) 3, pp. 977-988
The sensitivity of a risk measure with respect to the parameters of the hypothesized distribution is a useful tool in investigating the impact of marginal rebalancing decisions on the portfolio return distribution and also in the analysis of the asymptotic variability of the risk estimator. We...