We define and develop an approach for risk budgeting allocation -- a risk diversification portfolio strategy -- where … risk is measured using a dynamic time-consistent risk measure. For this, we introduce a notion of dynamic risk … contributions that generalise the classical Euler contributions and which allow us to obtain dynamic risk contributions in a …

The numerical calculations of marginal risk contributions associated with the two risk measures, Value-at-Risk and … computational efficiency and accuracy for computing marginal risk contributions of the popular Gaussian copula model and t … parameters in the t-copula model. Extensive numerical tests on computing risk contributions were performed on various copula …