RISK MANAGEMENT RISK CONTRIBUTION IS EXPOSURE TIMES VOLATILITY TIMES CORRELATION: Decomposing Risk Using the X-Sigma-Rho Formula
| Year of publication: |
2011
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|---|---|
| Authors: | Menchero, Jose ; Davis, Ben |
| Published in: |
The journal of portfolio management : a publication of Institutional Investor. - New York, NY : Institutional Investor, ISSN 0095-4918, ZDB-ID 1971451. - Vol. 37.2011, 2, p. 97-107
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