DIFFERENTIABILITY OF BSVIEs AND DYNAMIC CAPITAL ALLOCATIONS (Q4595300)
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scientific article; zbMATH DE number 6813769
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | DIFFERENTIABILITY OF BSVIEs AND DYNAMIC CAPITAL ALLOCATIONS |
scientific article; zbMATH DE number 6813769 |
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DIFFERENTIABILITY OF BSVIEs AND DYNAMIC CAPITAL ALLOCATIONS (English)
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29 November 2017
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dynamic risk capital allocation
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dynamic risk measure
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backward stochastic Volterra integral equation
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backward stochastic differential equation
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gradient allocation
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Aumann-Shapley allocation
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