Risk bounds for factor models
Carole Bernard, Ludger Rüschendorf, Steven Vanduffel, Ruodu Wang
| Year of publication: |
July 2017
|
|---|---|
| Authors: | Bernard, Carole ; Rüschendorf, Ludger ; Vanduffel, Steven ; Wang, Ruodu |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 21.2017, 3, p. 631-659
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| Subject: | Factor models | Risk aggregation | Dependence uncertainty | Value-at-Risk | Faktorenanalyse | Factor analysis | Risiko | Risk | Risikomaß | Risk measure | Theorie | Theory | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-017-0328-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011944414