Description
The authors acknowledge that making sense of mathematical and statistical relationships can be difficult, and suggest a method for visualizing potentially-abstract portfolio risk concepts. This ability, they say, enables an intuitive decomposition of portfolio risks into benchmarks and residual components, using only a limited amount of initial information.
Improving Risk Measurement, Analysis and Management (With a Little More Help from
Euclid)
Brian Singer, UBS Brinson;
Christoph Kessler, UBS Brinson;
Günter Schwarz, UBS Brinson;
Kevin Terhar UBS Brinson;
and John Zerolis, UBS Brinson
