Browsing Statistics and Actuarial Science by Author "Jia, Huameng"
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Multivariate Risk Measures for Portfolio Risk Management
Jia, Huameng (University of Waterloo, 2021-01-29)In portfolio risk management, the main foci are to control the aggregate risk of the entire portfolio and to understand the contribution of each individual risk unit in the portfolio to the aggregate risk. When univariate ...