Analysis of risk bounds in partially specified additive factor models
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DOI: 10.1016/j.insmatheco.2019.02.007
Abstract: Abstract The study of worst case scenarios for risk measures (e.g. the Value at Risk) when the underlying risk vector (or portfolio of risks) is not completely specified is a central topic in the literature… read more here.
Keywords: factor models; partially specified; risk; factor ... See more keywords