Capital allocation for portfolios with non-linear risk aggregation
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Publication:506075
DOI10.1016/J.INSMATHECO.2016.11.003zbMATH Open1394.91191OpenAlexW3123427625MaRDI QIDQ506075FDOQ506075
Tim J. Boonen, A. Tsanakas, Mario V. Wüthrich
Publication date: 31 January 2017
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://openaccess.city.ac.uk/id/eprint/15846/1/BTW_WP.pdf
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Cited In (16)
- A cooperative bargaining framework for decentralized portfolio optimization
- Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation
- \( \tau \)-value for risk capital allocation problems
- AGGREGATION AND CAPITAL ALLOCATION FORMULAS FOR BIVARIATE DISTRIBUTIONS
- Distortion measures and homogeneous financial derivatives
- Comparative issues between linear and non-linear risk measures for non-convex portfolio optimization: evidence from the S&P 500
- Forecasting compositional risk allocations
- CAPITAL ALLOCATION AND RISK CONTRIBUTION WITH DISCRETE‐TIME COHERENT RISK
- A generalization of the Aumann-Shapley value for risk capital allocation problems
- Dynamic capital allocation with irreversible investments
- An impossibility theorem on capital allocation
- Set optimization of set-valued risk measures
- Holistic principle for risk aggregation and capital allocation
- Capital allocation with multivariate convex risk measures
- An approximation method for risk aggregations and capital allocation rules based on additive risk factor models
- Capital allocation to alternatives with a multivariate ladder gamma return distribution
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