Sensitivity Analysis of Portfolio Volatility: Importance of Weights, Sectors and Impact of Trading Strategies

  • Emanuele Borgonovo
  • Marco Percoco
Part of the Finance and Capital Markets Series book series (FCMS)


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 ).


GARCH Model Portfolio Weight Intel Corp Portfolio Composition American Express 
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© Emanuele Borgonovo and Marco Percoco 2007

Authors and Affiliations

  • Emanuele Borgonovo
  • Marco Percoco

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