Dynamic capital allocation with irreversible investments

DOI10.1016/j.insmatheco.2018.11.003zbMath1419.91577OpenAlexW2903640974WikidataQ128763315 ScholiaQ128763315MaRDI QIDQ1735043

George Zanjani, Xiaohu Ping, Shinichi Kamiya, Daniel J. Bauer

Publication date: 28 March 2019

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2018.11.003

zbMATH Keywords

portfolio optimizationdiversificationcapital allocationreal-option

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

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• Capital allocation for portfolios with non-linear risk aggregation
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• An optimization approach to the dynamic allocation of economic capital
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• Distortion measures and homogeneous financial derivatives
• Coherent Measures of Risk
• Lagrange Multipliers and Optimality
• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
• Capital Allocation Survey with Commentary

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