CAPITAL ALLOCATION AND RISK CONTRIBUTION WITH DISCRETE‐TIME COHERENT RISK
From MaRDI portal
Publication:3608733
generatorcapital allocationrisk contributiondetermining systemdynamic coherent risk measurerisk metricsdynamic weighted V\@Rextreme system
Recommendations
- Coherent risk measures, coherent capital allocations and the gradient allocation principle
- An axiomatic characterization of capital allocations of coherent risk measures
- Risk-reward optimization with discrete-time coherent risk
- Capital allocation with multivariate convex risk measures
- Risk capital allocation by coherent risk measures based on one-sided moments.
- Dynamic capital allocation with distortion risk measures
- Capital allocation for set-valued risk measures
- Capital allocation with multivariate risk measures: an axiomatic approach
- Capital allocation for portfolios with non-linear risk aggregation
- Risk-adjusted probability measures in portfolio optimization with coherent measures of risk
Cites work
- scientific article; zbMATH DE number 5117421 (Why is no real title available?)
- Application of Coherent Risk Measures to Capital Requirements in Insurance
- COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS
- Coherent and convex monetary risk measures for bounded càdlàg processes
- Coherent multiperiod risk adjusted values and Bellman's principle
- Composition of time-consistent dynamic monetary risk measures in discrete time
- Conditional and dynamic convex risk measures
- Convex measures of risk and trading constraints
- Convex risk measures and the dynamics of their penalty functions
- DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
- Dynamic coherent risk measures
- Dynamic monetary risk measures for bounded discrete-time processes
- Pricing and hedging European options with discrete-time coherent risk
- RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
- Risk capital allocation by coherent risk measures based on one-sided moments.
- Weighted V\@R and its properties
Cited in
(19)- Coherent risk measures, coherent capital allocations and the gradient allocation principle
- Risk capital allocation by coherent risk measures based on one-sided moments.
- Risk-reward optimization with discrete-time coherent risk
- Capital allocation rules and acceptance sets
- Dynamic capital allocation with distortion risk measures
- Ruin-based risk measures in discrete-time risk models
- On two approaches to coherent risk contribution
- Pricing and hedging European options with discrete-time coherent risk
- A dynamic model of central counterparty risk
- An axiomatic characterization of capital allocations of coherent risk measures
- On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
- Long-only equal risk contribution portfolios for CVaR under discrete distributions
- A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
- Risk contributions: duality and sensitivity
- Representation of BSDE-based dynamic risk measures and dynamic capital allocations
- A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations
- Extremes for coherent risk measures
- scientific article; zbMATH DE number 2151372 (Why is no real title available?)
- Differentiability of BSVIEs and dynamic capital allocations
This page was built for publication: CAPITAL ALLOCATION AND RISK CONTRIBUTION WITH DISCRETE‐TIME COHERENT RISK
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3608733)
