CAPITAL ALLOCATION WITH MULTIVARIATE RISK MEASURES: AN AXIOMATIC APPROACH

DOI10.1017/S0269964819000032zbMath1443.91345OpenAlexW2922332864WikidataQ128265510 ScholiaQ128265510MaRDI QIDQ5111487

Hu, Yijun, Linxiao Wei

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

zbMATH Keywords

subadditivitypositive homogeneitymultivariate risk measure(financial) portfoliocapital allocation principle

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (2)

Capital allocation with multivariate risk statistics with positive homogeneity and subadditivity ⋮ Capital allocation with multivariate convex risk measures

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