Paper Info
Title
Risk Bounds for Factor Models
Abstract
Recent literature has investigated the risk aggregation of a portfolio \(X=(X_{i})_{1\leq i\leq n}\) under the sole assumption that the marginal distributions of the risks \(X_{i} \) are specified, but not their dependence structure. There exists a range of possible values for any risk measure of \(S=\sum_{i=1}^{n}X_{i}\), and the dependence uncertainty spread, as measured by the difference between the upper and the lower bound on these values, is typically very wide. Obtaining bounds that are more practically useful requires additional information on dependence.
Year
DOI
Venue
2017
10.2139/ssrn.2572508
Finance and Stochastics
Field
DocType
Volume
Financial economics,Upper and lower bounds,Factor analysis,Mathematics,No-arbitrage bounds,Marginal distribution
Journal
21
Issue
Citations 
PageRank 
3
0
0.34
References 
Authors
0
4
Name
Order
Citations
PageRank
Carole Bernard153.68
ludger ruschendorf200.68
steven vanduffel322.79
Ruodu Wang44711.75