Visualizing the Propagation of Risk: Square-Root Rule, Covariances and Ellipsoids
ARPM - Advanced Risk and Portfolio Management
May 12, 2011
GARP Risk Professional, pp. 52-53, February 2010
How to analyze and visualize the propagation law of risk in a multi-dimensional market. Commented code is available for download
Number of Pages in PDF File: 4
Keywords: location, dispersion, diffusion, random walk, invariants, i.i.d.
JEL Classification: C1, G11
Date posted: February 4, 2010 ; Last revised: May 14, 2011
© 2016 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollobot1 in 0.235 seconds