ON TWO APPROACHES TO COHERENT RISK CONTRIBUTION (Q3008491)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ON TWO APPROACHES TO COHERENT RISK CONTRIBUTION |
scientific article |
Statements
ON TWO APPROACHES TO COHERENT RISK CONTRIBUTION (English)
0 references
16 June 2011
0 references
conditional VaR
0 references
coherent risk measure
0 references
directional risk contribution
0 references
linear risk contribution
0 references
minimal extreme measure
0 references
MINVaR
0 references
weighted VaR
0 references
