Dynamic capital allocation with reallocation cost

DOI10.1016/J.ORL.2024.107114MaRDI QIDQ6988650zbMATH OpenFDO

Authors Ermo Chen, Lan Wu, Jingyi He

Publication date 3 May 2025

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.ORL.2024.107114

zbMATH Keywords

dynamic capital allocationperformance measurementreallocation coststochastic constraints

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

Cites work

• An optimization approach to the dynamic allocation of economic capital
• Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation
• CAPITAL ALLOCATION AND RISK CONTRIBUTION WITH DISCRETE‐TIME COHERENT RISK
• Capital allocation and RORAC optimization under Solvency 2 standard formula
• Coherent measures of risk
• Differentiability of BSVIEs and dynamic capital allocations
• Dynamic capital allocation with distortion risk measures
• Dynamic capital allocation with irreversible investments
• Multivariate distributions with time and cross-dependence: aggregation and capital allocation
• Optimal capital allocation in a hierarchical corporate structure
• Optimal Pricing of a Heterogeneous Portfolio for a Given Risk Level
• Representation of BSDE-based dynamic risk measures and dynamic capital allocations

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