Abstract
As described in cestion 3.1.3, the ’sample’ models are based on the historical distribution. However, as the historical values are sparsely, especially in the tails, which are used for the risk calculation, there are many possibilities to extend the distribution assumption. The risk budgets can also be calculated through fitting a desired distribution and then simulating the returns based on the fitted parameters.
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© 2015 Springer Fachmedien Wiesbaden
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Unger, A. (2015). Extensions of Empirical Studies. In: The Use of Risk Budgets in Portfolio Optimization. Springer Gabler, Wiesbaden. https://doi.org/10.1007/978-3-658-07259-9_7
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DOI: https://doi.org/10.1007/978-3-658-07259-9_7
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Publisher Name: Springer Gabler, Wiesbaden
Print ISBN: 978-3-658-07258-2
Online ISBN: 978-3-658-07259-9
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