CAPITAL ALLOCATION AND RISK CONTRIBUTION WITH DISCRETE‐TIME COHERENT RISK
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Publication:3608733
DOI10.1111/J.1467-9965.2008.00355.XzbMATH Open1155.91400OpenAlexW1994745758MaRDI QIDQ3608733FDOQ3608733
Authors: A. S. Cherny 
Publication date: 6 March 2009
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2008.00355.x
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- Dynamic capital allocation with distortion risk measures
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- Risk-adjusted probability measures in portfolio optimization with coherent measures of risk
generatorcapital allocationrisk contributiondetermining systemdynamic coherent risk measurerisk metricsdynamic weighted V\@Rextreme system
Cites Work
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- Weighted V\@R and its properties
- COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS
- Pricing and hedging European options with discrete-time coherent risk
- Title not available (Why is that?)
Cited In (17)
- An axiomatic characterization of capital allocations of coherent risk measures
- Risk contributions: duality and sensitivity
- Coherent risk measures, coherent capital allocations and the gradient allocation principle
- A DYNAMIC MODEL OF CENTRAL COUNTERPARTY RISK
- Dynamic capital allocation with distortion risk measures
- DIFFERENTIABILITY OF BSVIEs AND DYNAMIC CAPITAL ALLOCATIONS
- Pricing and hedging European options with discrete-time coherent risk
- A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
- A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations
- Risk capital allocation by coherent risk measures based on one-sided moments.
- Risk-reward optimization with discrete-time coherent risk
- Ruin-based risk measures in discrete-time risk models
- On two approaches to coherent risk contribution
- REPRESENTATION OF BSDE-BASED DYNAMIC RISK MEASURES AND DYNAMIC CAPITAL ALLOCATIONS
- Long-only equal risk contribution portfolios for CVaR under discrete distributions
- On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
- Title not available (Why is that?)
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