Decomposing aggregate risk into marginal risks under partial information: A top-down method

Hui Shao

Statistics & Probability Letters, 2017, vol. 124, issue C, 97-100

Abstract: 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.

Keywords: Aggregate risk model; Covariance matrix; Partial information; Top-down (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1016/j.spl.2017.01.015

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