Risk decomposition: Honour your contribution - What is the best method for determining the risk contribution of a component in a portfolio? An exploration of the pros and cons of three important methods, showing that none dominates the others.
| Year of publication: |
2002
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|---|---|
| Authors: | Koyluoglu, Ugur ; Stoker, Jim |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 15.2002, 4, p. 90-94
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