An optimization approach to the dynamic allocation of economic capital (Q704412)
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scientific article; zbMATH DE number 2127228
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| default for all languages | No label defined |
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| English | An optimization approach to the dynamic allocation of economic capital |
scientific article; zbMATH DE number 2127228 |
Statements
An optimization approach to the dynamic allocation of economic capital (English)
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13 January 2005
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risk measurement
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capital allocation
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stochastic dependence
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comonotonicity
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value-at-risk
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0.8883990049362183
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0.8226560354232788
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0.8053474426269531
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