paper
Introducing Variety in Risk Management
Fabrizio Lillo, Rosario N. Mantegna, Jean-Philippe Bouchaud, Marc Potters
Introducing Variety in Risk Management
Fabrizio Lillo, Rosario N. Mantegna, Jean-Philippe Bouchaud, Marc Potters
Paper2001-07-10English
risk managementarxiv
Description
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.
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