Upper risk bounds in internal factor models with constrained specification sets
Abstract For the class of (partially specified) internal risk factor models we establish strongly simplified supermodular ordering results in comparison to the case of general risk factor models. This allows us to derive meaningful and improved risk bounds for the joint portfolio in risk factor mode...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2020-05-01
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| Series: | Probability, Uncertainty and Quantitative Risk |
| Subjects: | |
| Online Access: | http://link.springer.com/article/10.1186/s41546-020-00045-y |