Pricing with Coherent Risk
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Publication:3532119
DOI10.1137/S0040585X97983158zbMath1148.91026MaRDI QIDQ3532119
Publication date: 3 November 2008
Published in: Theory of Probability & Its Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0040585x97983158
generator; transaction costs; support function; capital allocation; coherent risk measure; risk-neutral measure; risk contribution; extreme measure; RAROC; no good deals; tail V\@R; weighted V\@R
91B32: Resource and cost allocation (including fair division, apportionment, etc.)
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