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On the Financial Interpretation of Risk Contribution: Risk Budgets Do Add Up
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References

  • 2017Active Portfolio Management463 cited
  • 1996Hot Spots™ and Hedges125 cited

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  • 2013Jump robust two time scale covariance estimation and realized volatility budgets

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37 cited
  • 2013Forecasting VaR using analytic higher moments for GARCH processes34 cited
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