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Visualizing the Propagation of Risk: Square-Root Rule, Covariances and Ellipsoids

GARP Risk Professional, pp. 52-53, February 2010

4 Pages Posted: 4 Feb 2010 Last revised: 14 May 2011

Attilio Meucci

ARPM - Advanced Risk and Portfolio Management

Date Written: May 12, 2011

Abstract

How to analyze and visualize the propagation law of risk in a multi-dimensional market. Commented code is available for download

Keywords: location, dispersion, diffusion, random walk, invariants, i.i.d.

JEL Classification: C1, G11

Suggested Citation

Meucci, Attilio, Visualizing the Propagation of Risk: Square-Root Rule, Covariances and Ellipsoids (May 12, 2011). GARP Risk Professional, pp. 52-53, February 2010 . Available at SSRN: https://ssrn.com/abstract=1548162

Attilio Meucci (Contact Author)

ARPM - Advanced Risk and Portfolio Management ( email )

HOME PAGE: http://www.arpm.co/

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