A Shortcut to Sign Incremental Value at Risk for Risk Allocation

Incremental value at risk (IVaR) is becoming a standard tool to identify investment strategies that enhance risk‐adjusted returns. Recently, practice‐oriented research has focused applying IVaR to hedging and speculating with options and risk reduction. IVaR approximation methods provide easily applied preliminary guidelines for risk allocation. This article examines two such approaches.

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Year of publication:	2003
Authors:	TASCHE, DIRK ; TIBILETTI, LUISA
Published in:	The Journal of Risk Finance. - MCB UP Ltd, ISSN 2331-2947, ZDB-ID 2048922-5. - Vol. 4.2003, 2, p. 43-46
Publisher:	MCB UP Ltd

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Type of publication:	Article
Type of publication (narrower categories):	review-article
Language:	English
Other identifiers:	10.1108/eb022960 [DOI]
Source:	Other ZBW resources

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