A portfolio-invariant capital allocation scheme penalizing concentration risk
Lie-Jane Kao (Department of Banking and Finance, Kainan University, Luzhu Shiang, Taoyuan, Taiwan)
| Year of publication: |
December 2015
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|---|---|
| Authors: | Kao, Lie-Jane |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 51.2015, p. 560-570
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| Subject: | Portfolio-invariance | Marginal capital contribution | VaR | Asymptotically single-risk factor (ASRF) | Concentration risk | Multi-risk factor | Response surface methodology (RSM) | Euler capital allocation scheme | Theorie | Theory | Portfolio-Management | Portfolio selection | Risiko | Risk | Risikomanagement | Risk management | Allokation | Allocation | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2015.08.034 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011476155