97 citations · 230 across the 9 of their papers we have counts for
Showing q-fin.PMShow all
2 papers · 1 filter
q-fin.PM2011★ 11 cited
Measuring Portfolio Diversification
Ulrich Kirchner, Caroline Zunckel
In the market place, diversification reduces risk and provides protection against extreme events by ensuring that one is not overly exposed to individual occurrences. We argue that…
q-fin.PM2010
Managing Derivative Exposure
Ulrich Kirchner
We present an approach to derivative exposure management based on subjective and implied probabilities. We suggest to maximize the valuation difference subject to risk constraints…