Properties and comparison of risk capital allocation methods (Q1751856): Difference between revisions

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+https://doi.org/10.1016/j.ejor.2016.10.052
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+W2548213636
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@@ Property / cites work @@
+Liquidity risk theory and coherent measures of risk
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+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
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+Values of Non-Atomic Games
@@ Property / cites work: Values of Non-Atomic Games / rank @@
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+Coherent risk measures, coherent capital allocations and the gradient allocation principle
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+ON TWO APPROACHES TO COHERENT RISK CONTRIBUTION
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+Empirical properties of asset returns: stylized facts and statistical issues
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+Stable allocations of risk
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+On the Impossibility of Fair Risk Allocation
@@ Property / cites work: On the Impossibility of Fair Risk Allocation / rank @@
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+Lectures on mathematical theory of extremum problems. Translated from the Russian by D. Louvish
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+The center of a convex set and capital allocation
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+Excess based allocation of risk capital
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+How should the cost of joint risk capital be allocated for performance measurement?
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+Risk capital allocation with autonomous subunits: the Lorenz set
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+AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
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+A capital allocation based on a solvency exchange option
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+Generating random correlation matrices based on vines and extended onion method
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+Introduction to the Theory of Cooperative Games
@@ Property / cites work: Introduction to the Theory of Cooperative Games / rank @@
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+The Nucleolus of a Characteristic Function Game
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+Q5817870
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+Q3921032
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+Game Theory and Cost Allocation Problems
@@ Property / cites work: Game Theory and Cost Allocation Problems / rank @@
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+Wang's capital allocation formula for elliptically contoured distributions.
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+Monotonic solutions of cooperative games
@@ Property / cites work: Monotonic solutions of cooperative games / rank @@
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+Publication:1751856