Capital allocation with multivariate risk measures: an axiomatic approach
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Publication:5111487
DOI10.1017/S0269964819000032zbMATH Open1443.91345OpenAlexW2922332864WikidataQ128265510 ScholiaQ128265510MaRDI QIDQ5111487FDOQ5111487
Authors: Linxiao Wei, Yijun Hu 
Publication date: 27 May 2020
Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0269964819000032
Recommendations
subadditivitypositive homogeneitymultivariate risk measure(financial) portfoliocapital allocation principle
Cites Work
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Cited In (18)
- GlueVaR risk measures in capital allocation applications
- An axiomatic characterization of capital allocations of coherent risk measures
- Capital allocation with multivariate risk statistics with positive homogeneity and subadditivity
- Optimal capital allocations to interdependent actuarial risks
- AGGREGATION AND CAPITAL ALLOCATION FORMULAS FOR BIVARIATE DISTRIBUTIONS
- AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
- Risk-Sensitive ICAPM With Application to Fixed-Income Management
- CAPITAL ALLOCATION AND RISK CONTRIBUTION WITH DISCRETE‐TIME COHERENT RISK
- Applications of axiomatic capital allocation and generalized weighted allocation
- AN EXTREME VALUE THEORY APPROACH TO THE ALLOCATION OF MULTIPLE ASSETS
- Title not available (Why is that?)
- Capital allocation for set-valued risk measures
- To split or not to split: Capital allocation with convex risk measures
- Impact of dependence on some multivariate risk indicators
- 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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