Risk bounds for factor models

Bernard, C; Ruschendorf, L; Vanduffel, S; Wang, RD

Vanduffel, S (reprint author), Vrije Univ Brussel, Pl Laan 2, B-1050 Brussels, Belgium.

FINANCE AND STOCHASTICS, 2017; 21 (3): 631

Abstract

Recent literature has investigated the risk aggregation of a portfolio X = (X-i)(1 <= i <= n) under the sole assumption that the marginal distri......

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