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Publications by Jerome Teiletche

On the Properties of Equally-Weighted Risk Contributions Portfolios

SSRN Electronic Journal

English

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Additivity of Risk in Portfolios

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Target Matrix Estimators in Risk-Based Portfolios

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Equally Despised, Equally Despising:

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Credit Portfolios: What Defines Risk Horizons and Risk Measurement?*

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Mean-Risk Optimization of Electricity Portfolios Using Multiperiod Polyhedral Risk Measures

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Managing Sovereign Credit Risk in Bond Portfolios

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Small Caps in International Equity Portfolios: The Effects of Variance Risk

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Modeling and Comparing Dependencies in Multivariate Risk Portfolios

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Assessing the Risk and Performance of Tax Systems Based on Industry-Specific, Regional and Mixed Portfolios

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