Estimating the VaR-induced Euler allocation rule (Q6569741)
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scientific article; zbMATH DE number 7878776
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| English | Estimating the VaR-induced Euler allocation rule |
scientific article; zbMATH DE number 7878776 |
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Estimating the VaR-induced Euler allocation rule (English)
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9 July 2024
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capital allocations
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conditional mean risk sharing
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quantile regression
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order statistics
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concomitants
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