MAFI: A Multi-Asset Fragility Indicator Using Principal Component Analysis
Babaee, Arta, Cheng, Eddie, Constantinides, Anthony George, King, David, Ma, Chenfei, Rodrigues, Pedro, Scheiber, MatthiasYear:
2015
Language:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.2574252
File:
PDF, 485 KB
english, 2015