Capital allocation rules and acceptance sets

DOI10.1007/s11579-020-00275-wzbMath1461.91364OpenAlexW3041369462MaRDI QIDQ2024123

Emanuela Rosazza Gianin, Gabriele Canna, Francesca Centrone

Publication date: 3 May 2021

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-020-00275-w

zbMATH Keywords

capital allocationconvex risk measuresacceptance setsquasi-convex risk measures

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (2)

Haezendonck-Goovaerts capital allocation rules ⋮ Minkowski deviation measures

Cites Work

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