Capital allocation for set-valued risk measures (Q5221484)
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scientific article; zbMATH DE number 7182446
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Capital allocation for set-valued risk measures |
scientific article; zbMATH DE number 7182446 |
Statements
CAPITAL ALLOCATION FOR SET-VALUED RISK MEASURES (English)
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26 March 2020
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risk management
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capital allocation rules
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set-valued risk measures
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coherent and convex risk measures
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0.8477779030799866
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0.8436057567596436
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0.8284075856208801
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0.8164137005805969
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0.8116405010223389
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