Capital allocation with multivariate convex risk measures (Q2698586)
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scientific article; zbMATH DE number 7677903
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Capital allocation with multivariate convex risk measures |
scientific article; zbMATH DE number 7677903 |
Statements
Capital allocation with multivariate convex risk measures (English)
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24 April 2023
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capital allocation
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coherent risk measure
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convex risk measure
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multivariate risk measure
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entropic risk measure
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0.9169538617134094
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0.8499529361724854
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0.8450933694839478
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0.8436269760131836
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0.8352363109588623
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