Insights to systematic risk and diversification across a joint probability distribution

DOI10.1016/j.insmatheco.2015.12.007zbMath1348.91136OpenAlexW3123862212MaRDI QIDQ282287

Piet de Jong, Weihao Choo

Publication date: 12 May 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.12.007

zbMATH Keywords

value-at-riskdiversificationdistortion riskEuler allocationlayerspectral risksystematic risk

Mathematics Subject Classification ID

Cites Work

• Unnamed Item
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