Background risk models and stepwise portfolio construction
From MaRDI portal
Publication:340127
DOI10.1007/s11009-015-9458-3zbMath1349.62517OpenAlexW3124979692MaRDI QIDQ340127
Alexandru V. Asimit, Ričardas Zitikis, Raluca Vernic
Publication date: 11 November 2016
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://openaccess.city.ac.uk/id/eprint/12407/1/AVZ-spc-MCAP-SSRN%20version.pdf
Laplace transformrisk managementsystemic riskbackground riskcapital allocationportfolio construction
Applications of statistics to actuarial sciences and financial mathematics (62P05) Laplace transform (44A10) Portfolio theory (91G10)
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