Introducing Variety in Risk Management

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dc.creatorLillo, Fabrizio
dc.creatorMantegna, Rosario N.
dc.creatorBouchaud, Jean-Philippe
dc.creatorPotters, Marc
dc.date2001-07-10
dc.date.accessioned2026-07-07T12:10:57Z
dc.date.available2026-07-07T12:10:57Z
dc.descriptionWe 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.
dc.description12 pages, 5 figures, to appear in Risk
dc.identifierhttps://arxiv.org/abs/cond-mat/0107208
dc.identifierhttp://arxiv.org/abs/cond-mat/0107208
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210081
dc.subjectStatistical Mechanics
dc.subjectRisk Management
dc.titleIntroducing Variety in Risk Management
dc.typetext

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