Determining and Allocating Diversification Benefits for a Portfolio of Risks (Q3569714)
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scientific article; zbMATH DE number 5723978
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| English | Determining and Allocating Diversification Benefits for a Portfolio of Risks |
scientific article; zbMATH DE number 5723978 |
Statements
Determining and Allocating Diversification Benefits for a Portfolio of Risks (English)
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21 June 2010
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diversification
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allocated risk margins
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stand-alone risk margins
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capital allocation Euler allocation percentile risk aversion
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0.8549553
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0.85089076
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0.8497883
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0.8473785
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0.8467441
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0.84442914
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0.84434104
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0.84244454
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