Compositional risk capital allocations

DOI10.1007/S10260-025-00785-1MaRDI QIDQ6966884zbMATH OpenFDO

Authors Anna Maria Fiori, Emanuela Rosazza Gianin

Publication date 26 June 2025

Published in Statistical Methods and Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S10260-025-00785-1

zbMATH Keywords

Aitchison's geometrycompositional data (CoDa)conditional value at risk (CVaR)proportional allocation principlereturn risk measure

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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