This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Introducing Variety in Risk Management

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Fabrizio Lillo (Observatory of Complex Systems, Palermo University)
Rosario N. Mantegna (Observatory of Complex Systems, Palermo University)
Marc Potters
Jean-Philippe Bouchaud (Science & Finance, Capital Fund Management, CEA Saclay;)
Abstract

We review the recently introduced concept of variety of a financial portfolio and we sketch its importance for risk control purposes. The empirical behaviour of variety, correlation, exceedance correlation and asymmetry of the probability density function of daily returns is discussed. The results obtained are compared with the ones of a one-factor model showing strengths and limitations of this model.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.science-finance.fr/papers/0107208.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Science & Finance, Capital Fund Management in its series Science & Finance (CFM) working paper archive with number 0107208.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: Jul 2001
Date of revision:
Publication status: published in Wilmott Magazine (2003)
Handle: RePEc:sfi:sfiwpa:0107208

Contact details of provider:
Postal: 6 boulevard Haussmann, 75009 Paris, FRANCE
Phone: +33.1.4949.5949
Fax: +33.1.4770.1740
Email:
Web page: http://www.science-finance.fr/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Marc Potters).

Related research
Keywords:

Find related papers by JEL classification:
G1 - Financial Economics - - General Financial Markets
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. François Longin, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, 04. [Downloadable!] (restricted)
Full references

Statistics
Access and download statistics

Did you know? You can create a compilation of all publications of a group of people, say alumni of a program, your students or memers of an association.

This page was last updated on 2009-12-9.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.