

Delta-gamma component VAR: nonlinear risk decomposition for any type of fund
A risk decomposition by fund manager, factor or instrument is proposed
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Matthew Dixon and James Goldcamp develop an analytical methodology for decomposing nonlinear portfolio risk not only by instrument, but also by fund managers or sub-portfolios for one single manager. Furthermore, the approach may be used by quantitative portfolio managers for risk decomposition by factors under a factor investing strategy
Investment management firms seek not only to measure the value-of-risk of their portfolios but also to measure the
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