Capital allocation with multivariate risk measures: an axiomatic approach (Q5111487)
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scientific article; zbMATH DE number 7204733
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| English | Capital allocation with multivariate risk measures: an axiomatic approach |
scientific article; zbMATH DE number 7204733 |
Statements
CAPITAL ALLOCATION WITH MULTIVARIATE RISK MEASURES: AN AXIOMATIC APPROACH (English)
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27 May 2020
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capital allocation principle
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(financial) portfolio
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multivariate risk measure
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positive homogeneity
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subadditivity
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0.9000884294509888
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0.8180417418479919
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0.8164137005805969
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0.8158653974533081
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0.8152913451194763
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