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AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION - MaRDI portal

AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION (Q5692937)

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scientific article; zbMATH DE number 2209949
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AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
scientific article; zbMATH DE number 2209949

    Statements

    title
    AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION (English)
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    author
    Michael Kalkbrener
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    publication date
    28 September 2005
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    zbMATH Keywords
    risk measure
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    expected shortfall
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    value-at-risk
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    Hahn-Banach theorem
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    Identifiers

    Mathematics Subject Classification ID
    91B28
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    91B30
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    91B32
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    zbMATH DE Number
    2209949
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    OpenAlex ID
    W3125510297
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