R Sobotka

Amundi Asset Management

90 Boulevard Pasteur

Paris, 75015

France

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Scholarly Papers (1)

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Portfolio Allocation with Skewness Risk: A Practical Guide

Number of pages: 33 Posted: 15 Jul 2018 Last Revised: 08 Feb 2019
Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and Amundi Asset Management
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Citation 2

Abstract:

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Skewness, Volatility, Expected Shortfall, Stress Scenario, Market Regime, Drawdown, Risk Budgeting, Equal Risk Contribution, Gaussian Mixture Model, Jump-Diffusion Process