Capital allocation à la Aumann-Shapley for non-differentiable risk measures
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Publication:723951
DOI10.1016/j.ejor.2017.11.051zbMath1403.91189OpenAlexW2620090292MaRDI QIDQ723951
Emanuela Rosazza Gianin, Francesca Centrone
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
Aumann-Shapley valuerisk managementGateaux differentialcapital allocation rulesconvex/quasi-convex risk measures
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