CAPITAL ALLOCATION WITH MULTIVARIATE RISK MEASURES: AN AXIOMATIC APPROACH (Q5111487): Difference between revisions

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Revision as of 18:22, 22 July 2024

scientific article; zbMATH DE number 7204733
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English
CAPITAL ALLOCATION WITH MULTIVARIATE RISK MEASURES: AN AXIOMATIC APPROACH
scientific article; zbMATH DE number 7204733

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    CAPITAL ALLOCATION WITH MULTIVARIATE RISK MEASURES: AN AXIOMATIC APPROACH (English)
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    27 May 2020
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    capital allocation principle
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    (financial) portfolio
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    multivariate risk measure
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    positive homogeneity
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    subadditivity
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