A Shortcut to Sign Incremental Value at Risk for Risk Allocation
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DOI: 10.1108/eb022960
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- Dirk Tasche & Luisa Tibiletti, 2002. "A shortcut to sign Incremental Value-at-Risk for risk allocation," Papers cond-mat/0204593, arXiv.org, revised Oct 2002.
References listed on IDEAS
- Dowd, Kevin, 2000. "Adjusting for risk:: An improved Sharpe ratio," International Review of Economics & Finance, Elsevier, vol. 9(3), pages 209-222, July.
- Ross, Stephen A., 1999. "Adding Risks: Samuelson's Fallacy of Large Numbers Revisited," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(3), pages 323-339, September.
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Keywords
incremental value-at-risk (ivar); risk pooling; risk adding.(this abstract was borrowed from another version of this item.);
All these keywords.
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