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ON ONE LIMIT RELATION FOR COHERENT RISK MEASURES.

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Title: ON ONE LIMIT RELATION FOR COHERENT RISK MEASURES.
Authors: KONOVALOV, L. A.1 leonid.knv@gmail.com
Source: Theory of Probability & Its Applications. 2011, Vol. 55 Issue 1, p144-153. 10p. 1 Diagram, 1 Graph.
Subjects: Investments, Integral theorems, Probability theory, Stock ownership, Standard deviations
Abstract: The paper is devoted to the investigation of the connection between ordinary and factor risks in a factor model. In particular, it is shown that under certain conditions in the simplest factor model if a number of assets in the portfolio grows, then the difference between these risks tends to a finite number despite that the risks themselves tend to infinity. [ABSTRACT FROM AUTHOR]
Copyright of Theory of Probability & Its Applications is the property of Society for Industrial & Applied Mathematics and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
Database: Engineering Source
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  Data: ON ONE LIMIT RELATION FOR COHERENT RISK MEASURES.
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  Data: <searchLink fieldCode="JN" term="%22Theory+of+Probability+%26+Its+Applications%22">Theory of Probability & Its Applications</searchLink>. 2011, Vol. 55 Issue 1, p144-153. 10p. 1 Diagram, 1 Graph.
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  Data: <searchLink fieldCode="DE" term="%22Investments%22">Investments</searchLink><br /><searchLink fieldCode="DE" term="%22Integral+theorems%22">Integral theorems</searchLink><br /><searchLink fieldCode="DE" term="%22Probability+theory%22">Probability theory</searchLink><br /><searchLink fieldCode="DE" term="%22Stock+ownership%22">Stock ownership</searchLink><br /><searchLink fieldCode="DE" term="%22Standard+deviations%22">Standard deviations</searchLink>
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  Data: The paper is devoted to the investigation of the connection between ordinary and factor risks in a factor model. In particular, it is shown that under certain conditions in the simplest factor model if a number of assets in the portfolio grows, then the difference between these risks tends to a finite number despite that the risks themselves tend to infinity. [ABSTRACT FROM AUTHOR]
– Name: AbstractSuppliedCopyright
  Label:
  Group: Ab
  Data: <i>Copyright of Theory of Probability & Its Applications is the property of Society for Industrial & Applied Mathematics and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract.</i> (Copyright applies to all Abstracts.)
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        Value: 10.1137/S0040585X9798470X
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        Text: English
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      – SubjectFull: Integral theorems
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      – SubjectFull: Probability theory
        Type: general
      – SubjectFull: Stock ownership
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      – SubjectFull: Standard deviations
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      – TitleFull: ON ONE LIMIT RELATION FOR COHERENT RISK MEASURES.
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              Text: 2011
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