A generalization of expected shortfall based capital allocation (Q1726872)
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scientific article; zbMATH DE number 7026300
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| English | A generalization of expected shortfall based capital allocation |
scientific article; zbMATH DE number 7026300 |
Statements
A generalization of expected shortfall based capital allocation (English)
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20 February 2019
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expected shortfall
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Orlicz risk measure
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Young function
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estimating equation
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capital allocation
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0.8260341286659241
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0.8094977140426636
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0.8022889494895935
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0.7919318675994873
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0.7918724417686462
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