Upper Comonotonicity and Risk Aggregation under Dependence Uncertainty

By Corrado De Vecchi, Max Nendel, Jan Streicher

Published 2024-06-28

Everscope rating

1500.3

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Theoretical analysis and proofs. Problem types: Risk Management, Portfolio Optimization.

arXiv:2406.19242 · Paper rankings

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