DORFLEITNER, GREGOR; PFISTER, TAMARA - In: International Journal of Theoretical and Applied … 17 (2014) 06, pp. 1450039-1
Risk capital allocation is based on the assumption that the risk of a homogeneous portfolio is scaled up and down with the portfolio size. In this article we show that this assumption is true for large portfolios, but has to be revised for small ones. On basis of numerical examples we calculate...