A Shortcut to Sign Incremental Value at Risk for Risk Allocation

Dirk Tasche and Luisa Tibiletti

Journal of Risk Finance, 2003, vol. 4, issue 2, 43-46

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Date: 2003
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Working Paper: A shortcut to sign Incremental Value-at-Risk for risk allocation (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:eme:jrfpps:eb022960

DOI: 10.1108/eb022960

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