Portfolio Volatility Contributions of Risk Factors in the Presence of Risk Factors Multi-collinearity

Andrea Mecchina, Enrico Regolin,Nicola Torelli,Luca Bortolussi

MATHEMATICAL AND STATISTICAL METHODS FOR ACTUARIAL SCIENCES AND FINANCE, MAF2024（2024）

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risk contributions,multi-collinearity,orthogonalisation,interpretability

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