Optimal capital allocation based on the tail mean-variance model
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- scientific article; zbMATH DE number 1818892 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- An optimization approach to the dynamic allocation of economic capital
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- Asymptotics for risk capital allocations based on conditional tail expectation
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- Heavy-Tail Phenomena
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- On the tail mean-variance optimal portfolio selection
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- Optimal pricing for a heterogeneous portfolio for a given risk factor and convex distance measure
- Risk capital decomposition for a multivariate dependent gamma portfolio
- Stochastic comparisons of capital allocations with applications
- Tail Conditional Expectations for Elliptical Distributions
- Tail Variance Premium with Applications for Elliptical Portfolio of Risks
- Tail conditional variance for elliptically contoured distributions
- Tail risk of multivariate regular variation
- To split or not to split: Capital allocation with convex risk measures
- Wang's capital allocation formula for elliptically contoured distributions.
- Weighted risk capital allocations
Cited in
(30)- GlueVaR risk measures in capital allocation applications
- Joint Insolvency Analysis of a Shared MAP Risk Process: A Capital Allocation Application
- Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation
- Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure
- Tail variance of portfolio under generalized Laplace distribution
- Tail Variance Premium with Applications for Elliptical Portfolio of Risks
- The tail mean-variance optimal capital allocation under the extended skew-elliptical distribution
- A generalization of expected shortfall based capital allocation
- Capital allocation based on the tail covariance premium adjusted
- Asymptotic capital allocation based on the higher moment risk measure
- Some results on the CTE-based capital allocation rule
- Optimal capital allocation in a hierarchical corporate structure
- Capital allocation based on Haezendonck-Goovaerts risk measure
- Optimal capital allocation based on weighted-mean-variance principle
- Capital distribution and portfolio performance in the mean-field Atlas model
- Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures
- On a robust risk measurement approach for capital determination errors minimization
- Optimal capital allocation with copulas
- The tail mean-variance optimal portfolio selection under generalized skew-elliptical distribution
- Asymptotic results on tail moment and tail central moment for dependent risks
- Capital Allocation Using the Bootstrap
- Vector-valued tail value-at-risk and capital allocation
- A two-step capital variation model: optimization by different statistical criteria
- Some remarks on capital allocation by percentile layer
- Tail moments and tail joint moments for multivariate generalized hyperbolic distribution
- Multiobjective optimization of credit capital allocation in financial institutions
- Optimal capital allocation for individual risk model using a mean-variance principle
- Wang's capital allocation formula for elliptically contoured distributions.
- Tail mean-variance portfolio selection with estimation risk
- Capital allocation to alternatives with a multivariate ladder gamma return distribution
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