Capital allocation à la Aumann-Shapley for non-differentiable risk measures
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Publication:723951
DOI10.1016/J.EJOR.2017.11.051zbMATH Open1403.91189OpenAlexW2620090292MaRDI QIDQ723951FDOQ723951
Authors: Francesca Centrone, Emanuela Rosazza Gianin 
Publication date: 25 July 2018
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2017.11.051
Recommendations
risk managementGateaux differentialAumann-Shapley valuecapital allocation rulesconvex/quasi-convex risk measures
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Cited In (21)
- Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation
- Capital allocation with multivariate risk statistics with positive homogeneity and subadditivity
- Risk allocation through shapley decompositions, with applications to variable annuities
- AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
- Applications of axiomatic capital allocation and generalized weighted allocation
- CAPITAL ALLOCATION FOR SET-VALUED RISK MEASURES
- Capital allocation for cash-subadditive risk measures: from BSDEs to BSVIEs
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- Risk capital allocation by coherent risk measures based on one-sided moments.
- Risk contributions of lambda quantiles*
- An impossibility theorem on capital allocation
- To split or not to split: Capital allocation with convex risk measures
- Capital allocation rules and acceptance sets
- Extended gradient of convex function and capital allocation
- Capital allocation for portfolios with non-linear risk aggregation
- Capital allocation with multivariate convex risk measures
- Differentiability of BSVIEs and dynamic capital allocations
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