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An axiomatic characterization of capital allocations of coherent risk measures - MaRDI portal

An axiomatic characterization of capital allocations of coherent risk measures (Q3404106)

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An axiomatic characterization of capital allocations of coherent risk measures
scientific article

    Statements

    title
    An axiomatic characterization of capital allocations of coherent risk measures (English)
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    author
    Michael Kalkbrener
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    publication date
    5 February 2010
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    zbMATH Keywords
    capital allocation
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    coherent risk measures
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    91B30
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    91G50
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    zbMATH DE Number
    5667281
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    OpenAlex ID
    W2024453899
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