Some Properties of Euler Capital Allocation

By Lars Holden

Published 2024-05-01

Everscope rating

1542.3

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Theoretical analysis and numerical simulation. Problem types: Risk Management, Capital Allocation.

arXiv:2405.00606 · Paper rankings

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