Capital allocation with multivariate risk statistics with positive homogeneity and subadditivity (Q6164736)
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scientific article; zbMATH DE number 7720178
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| default for all languages | No label defined |
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| English | Capital allocation with multivariate risk statistics with positive homogeneity and subadditivity |
scientific article; zbMATH DE number 7720178 |
Statements
Capital allocation with multivariate risk statistics with positive homogeneity and subadditivity (English)
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28 July 2023
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multivariate risk statistic
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capital allocation principle
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mean-standard-deviation-type risk statistic
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