To split or not to split: Capital allocation with convex risk measures (Q1017768)
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scientific article; zbMATH DE number 5553077
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| English | To split or not to split: Capital allocation with convex risk measures |
scientific article; zbMATH DE number 5553077 |
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To split or not to split: Capital allocation with convex risk measures (English)
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12 May 2009
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convex measures of risk
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capital allocation
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Aumann-Shapley value
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inf-convolution
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0.8408967852592468
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0.8311725854873657
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0.8204033970832825
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0.8037853240966797
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0.8029223084449768
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