Incremental Value-at-Risk: Traps and misinterpretations

MaRDI QIDQ2741129zbMATH OpenFDO

Authors Luisa Tibiletti

Publication date 18 November 2001

zbMATH Keywords

beta coefficientincremental value-at-riskportfolio-hedging decisions

Mathematics Subject Classification ID

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Cited in

(1)

• A directional multivariate value at risk

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