Finite difference methods for estimating marginal risk contributions in asset management
Year of publication: |
June 2016
|
---|---|
Authors: | Olschewsky, Michael ; Lüdemann, Stefan ; Poddig, Thorsten |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 18.2016, 5, p. 63-99
|
Subject: | risk contributions | estimation error | expected shortfall (ES) | finite difference (FD) methods | kernel density estimation | Schätztheorie | Estimation theory | Risikomaß | Risk measure | Experiment | Schätzung | Estimation | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management |
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