Capturing Tail Risk in a Risk Budgeting Model
Risk budgeting, in contrast to conventional portfolio management strategies, is all about distributing the risk between holdings in a portfolio. The risk in risk budgeting is traditionally measured in terms of volatility and a Gaussian distribution is commonly utilized for modeling return data. In t...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
KTH, Matematisk statistik
2020
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| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-273414 |