Capital allocation with multivariate convex risk measures (Q2698586): Difference between revisions

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Property / author: Hu, Yijun / rank
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Property / author: Hu, Yijun / rank
 
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Property / full work available at URL: https://doi.org/10.3934/jimo.2022231 / rank
 
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Latest revision as of 23:24, 31 July 2024

scientific article
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Capital allocation with multivariate convex risk measures
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    Capital allocation with multivariate convex risk measures (English)
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    24 April 2023
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    capital allocation
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    coherent risk measure
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    convex risk measure
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    multivariate risk measure
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    entropic risk measure
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