Optimal capital and risk allocations for law- and cash-invariant convex functions
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Publication:1003351
DOI10.1007/s00780-008-0069-5zbMath1164.91012OpenAlexW2031661360MaRDI QIDQ1003351
Gregor Svindland, Damir Filipović
Publication date: 28 February 2009
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://infoscience.epfl.ch/record/148485/files/Optimal%20Capital%20and%20Risk%20Allocations%20for%20Law-.pdf
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Cites Work
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