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	Decomposing aggregate risk into marginal risks under partial information: A top-down method
	Shao, Hui
	2017
关键词	Aggregate risk model Covariance matrix Partial information Top-down DISTRIBUTIONS MIXABILITY BOUNDS
英文摘要	This paper proposes a method to decompose a square-integrable random variable into any number of marginal random variables under partial information restrictions. An executable algorithm and a concrete example of the capital allocation problem are also provided. (C) 2017 Elsevier B.V. All rights reserved.; Department of Financial Mathematics, Peking University; SCI(E); SSCI; ARTICLE; 97-100; 124
语种	英语
出处	SCI
出版者	STATISTICS & PROBABILITY LETTERS
内容类型	其他
源URL	[http://hdl.handle.net/20.500.11897/469251]
专题	数学科学学院
推荐引用方式 GB/T 7714	Shao, Hui. Decomposing aggregate risk into marginal risks under partial information: A top-down method. 2017-01-01.

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