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Multiperiod Maximum Loss is time unit invariant
Time unit invariance is introduced as an additional requirement for multiperiod risk measures: for a constant portfolio under an i.i.d. risk factor process, the multiperiod risk should equal the one period risk of the aggregated loss, for an appropriate choice of parameters and independent of the po...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Springer International Publishing
2016
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4980860/ https://www.ncbi.nlm.nih.gov/pubmed/27563531 http://dx.doi.org/10.1186/s40064-016-2959-x |