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Generalized marginal risk
Auteur(s)
Keel, Simon
Date de parution
2011
In
Journal of Asset Management
No
12
De la page
123
A la page
131
Revu par les pairs
1
Résumé
An important aspect of portfolio risk management is the analysis of the overall risk with respect to the assets' allocations. Marginal risk is the traditional tool, however, this metric is only meaningful when a position is levered or when the proceeds from the sale of a position are put in the cash account. This paper proposes an extension of the traditional marginal risk approach as a means of overcoming this defficiency. The new concept addresses situations where the change in a position results in changes to other positions as well. An illustration is provided for synthetic and real-world portfolios.
Identifiants
Autre version
http://www.palgrave-journals.com/jam/journal/v12/n2/full/jam201030a.html
Type de publication
journal article
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