Determining and Allocating Diversification Benefits for a Portfolio of Risks
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Publication:3569714
DOI10.2143/AST.40.1.2049228zbMATH Open1230.91167OpenAlexW3123141661MaRDI QIDQ3569714FDOQ3569714
Authors: Weihao Choo, Piet de Jong 
Publication date: 21 June 2010
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2143/ast.40.1.2049228
Recommendations
- Risk and utility in portfolio optimization
- RISK MEASURES: RATIONALITY AND DIVERSIFICATION
- Estimating allocations for value-at-risk portfolio optimization
- Risk Measures for Portfolio Vectors and Allocation of Risks
- On optimal portfolio diversification with respect to extreme risks
- Diversification of aggregate dependent risks
- Distribution assumptions and risk constraints in portfolio optimization
- Comparison of various risk measures for an optimal portfolio
- On optimal allocation of risk vectors
diversificationallocated risk marginscapital allocation Euler allocation percentile risk aversionstand-alone risk margins
Cites Work
- The Dual Theory of Choice under Risk
- Decision theoretic foundations of credibility theory
- Risk capital allocation and cooperative pricing of insurance liabilities.
- AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
- Economic Capital Allocations for Non-negative Portfolios of Dependent Risks
- Weighted premium calculation principles
- Weighted risk capital allocations
- Optimal Pricing of a Heterogeneous Portfolio for a Given Risk Level
- Title not available (Why is that?)
Cited In (3)
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