Risk capital decomposition for a multivariate dependent gamma portfolio
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- Edward Zaik & John Walter & Gabriela Retting & Christopher James, 1996. "Raroc At Bank Of America: From Theory To Practice," Journal of Applied Corporate Finance, Morgan Stanley, vol. 9(2), pages 83-93.
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- Mathai, A. M. & Moschopoulos, P. G., 1991. "On a multivariate gamma," Journal of Multivariate Analysis, Elsevier, vol. 39(1), pages 135-153, October.
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