Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation (Q2106746)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation |
scientific article |
Statements
Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation (English)
0 references
19 December 2022
0 references
risk management
0 references
scenario-dependent multivariate shortfall
0 references
polynomial decision rule
0 references
scenario-dependent allocation strategy
0 references
risk capital allocation
0 references
0 references
0 references
0 references
