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The Shapley decomposition for portfolio risk
Mussard, Stéphane; Terraza, Virginie - In: Applied economics letters 15 (2008) 7/9, pp. 713-715
Persistent link: https://www.econbiz.de/10003741652
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Biases in decomposing holding-period portfolio returns
Liu, Weimin; Strong, Norman - In: The review of financial studies 21 (2008) 5, pp. 2243-2274
Persistent link: https://www.econbiz.de/10003765176
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Solving consumption and portfolio choice problems : the state variable decomposition method
Garlappi, Lorenzo; Skoulakis, Georgios - In: The review of financial studies 23 (2010) 9, pp. 3346-3400
Persistent link: https://www.econbiz.de/10008664113
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Dynamic asset allocation : portfolio decomposition formula and applications
Detemple, Jérôme B.; Rindisbacher, Marcel - In: The review of financial studies 23 (2010) 1, pp. 25-100
Persistent link: https://www.econbiz.de/10003941596
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Semivariance decomposition of country-level returns
Beach, Steven L. - In: International review of economics & finance : IREF 20 (2011) 4, pp. 607-623
Persistent link: https://www.econbiz.de/10009303913
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Estimating high dimensional covariance matrices and its applications
Bai, Jushan; Shi, Shuzhong - In: Annals of economics and finance 12 (2011) 2, pp. 199-215
Persistent link: https://www.econbiz.de/10009425025
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Dependent frequency-severity modeling of insurance claims
Shi, Peng; Feng, Xiaoping; Ivantsova, Anastasia - In: Insurance / Mathematics & economics 64 (2015), pp. 417-428
Persistent link: https://www.econbiz.de/10011398126
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Decomposition of optimal portfolio weight in a jump-diffusion model and its applications
Jin, Xing; Zhang, Allen X. - In: The review of financial studies 25 (2012) 9, pp. 2877-2919
Persistent link: https://www.econbiz.de/10009630184
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A decomposition method for optimal portfolios with regime-switching and risk constraint
Liu, Jingzhen; Yiu, Ka-fai Cedric; Siu, Tak Kuen - In: Risk and decision analysis 3 (2012) 4, pp. 269-276
Persistent link: https://www.econbiz.de/10009704597
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Multivariate TVaR-based risk decomposition for vector-valued portfolios
Mailhot, Mélina; Mesfioui, Mhamed - In: Risks : open access journal 4 (2016) 4, pp. 1-16
In order to protect stakeholders of insurance companies and financial institutions against adverse outcomes of risky businesses, regulators and senior management use capital allocation techniques. For enterprise-wide risk management, it has become important to calculate the contribution of each...
Persistent link: https://www.econbiz.de/10011556505