Visualizing the Propagation of Risk : Square-Root Rule, Covariances and Ellipsoids

Year of publication:	2011
Authors:	Meucci, Attilio
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Korrelation \| Correlation \| Risiko \| Risk \| Theorie \| Theory \| Visualisierung \| Visualization
Description of contents:	How to analyze and visualize the propagation law of risk in a multi-dimensional market. Commented code is available for download

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