Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation (Q2106746)
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scientific article; zbMATH DE number 7633836
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| English | Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation |
scientific article; zbMATH DE number 7633836 |
Statements
Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation (English)
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19 December 2022
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risk management
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scenario-dependent multivariate shortfall
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polynomial decision rule
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scenario-dependent allocation strategy
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risk capital allocation
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0.8226191401481628
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0.7844743728637695
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0.7698538303375244
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0.762255072593689
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0.7518370151519775
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