Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation (Q2665868)
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scientific article; zbMATH DE number 7431000
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| English | Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation |
scientific article; zbMATH DE number 7431000 |
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Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation (English)
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19 November 2021
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conditional tail expectation-based allocation
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conditional geometric tail expectation-based allocation
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conditional covariance
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size-biased transform
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standard simplex
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0.7832021117210388
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0.7530893683433533
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0.7364546060562134
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0.7330878973007202
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0.7264655232429504
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