Introducing Variety in Risk Management
Statistical Mechanics
2008-12-10 v1 Risk Management
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.
Keywords
Cite
@article{arxiv.cond-mat/0107208,
title = {Introducing Variety in Risk Management},
author = {Fabrizio Lillo and Rosario N. Mantegna and Jean-Philippe Bouchaud and Marc Potters},
journal= {arXiv preprint arXiv:cond-mat/0107208},
year = {2008}
}
Comments
12 pages, 5 figures, to appear in Risk