Finite difference methods for estimating marginal risk contributions in asset management

Michael Olschewsky, Stefan Lüdemann and Thorsten Poddig

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 \| Risikomaß \| Risk measure \| Schätztheorie \| Estimation theory \| Schätzung \| Estimation \| Risikomanagement \| Risk management \| Portfolio-Management \| Portfolio selection

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