Intrinsic Risk Measure: The More Direct Path to the Acceptance Set

AuthorW. Farkas, A. Smirnow
Date11 Jan. 2017
CategoryRoundups
Intrinsic Risk Measure: The More Direct Path to the Acceptance Set

Intrinsic risk measures use only internal resources, returning the smallest percentage of the currently held financial position that must be sold and reinvested in an eligible asset such that the resulting position becomes acceptable. This new approach incorporates the acquisition of necessary capital and yields a more direct path to the acceptance set.

 

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