Risk Measures for Portfolio Vectors and Allocation of Risks

DOI10.1007/978-3-7908-2050-8_7MaRDI QIDQ3606098zbMATH OpenOpenAlexFDO

Authors Ludger Rüschendorf

Publication date 26 February 2009

Published in Contributions to Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-7908-2050-8_7

Mathematics Subject Classification ID

Recommendations

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Cites work

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• OPTIMAL NUMERAIRES FOR RISK MEASURES
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• Vector-valued coherent risk measures

Cited in

(12)

• GlueVaR risk measures in capital allocation applications
• scientific article; zbMATH DE number 5051698 (Why is no real title available?)
• Consistent risk measures for portfolio vectors
• On optimal allocation of risk vectors
• Star-Shaped Risk Measures
• Coherent and convex risk measures for portfolios with applications
• Scalar and Vector Risk in the General Framework of Portfolio Theory
• Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios
• Determining and Allocating Diversification Benefits for a Portfolio of Risks
• Vector risk functions
• Coherent and convex loss-based risk measures for portfolio vectors
• Satisficing Measures for Analysis of Risky Positions

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