Abstract
This chapter discusses the application of a new method to the Sensitivity Analysis (SA) of portfolio properties and proposes an SA scheme that is capable of assessing the joint impact of changes in portfolio composition on portfolio volatility (σ p ).
We would like to thank Simone Manganelli for providing us with data and basic MatLab codes, and participants at EWFM (Brescia, May 2005) for useful comments on an earlier draft. We also thank Guillermo Baquero for precious comments at the EFMA conference (Milan, 2005). Financial support from Bocconi University is gratefully acknowledged.
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© 2007 Emanuele Borgonovo and Marco Percoco
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Borgonovo, E., Percoco, M. (2007). Sensitivity Analysis of Portfolio Volatility: Importance of Weights, Sectors and Impact of Trading Strategies. In: Gregoriou, G.N. (eds) Advances in Risk Management. Finance and Capital Markets Series. Palgrave Macmillan, London. https://doi.org/10.1057/9780230625846_3
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DOI: https://doi.org/10.1057/9780230625846_3
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