Capital allocation with multivariate risk measures: an axiomatic approach

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

zbMATH Keywords

subadditivitypositive homogeneitymultivariate risk measure(financial) portfoliocapital allocation principle

Mathematics Subject Classification ID

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

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Cites Work

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• Consistent risk measures for portfolio vectors
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• On convex principles of premium calculation
• Risk capital allocation by coherent risk measures based on one-sided moments.
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• Stochastic finance. An introduction in discrete time
• To split or not to split: Capital allocation with convex risk measures

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 no real title available?)
• 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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