Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation
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Publication:2106746
DOI10.1016/j.ejor.2022.08.004OpenAlexW4293207624MaRDI QIDQ2106746
Publication date: 19 December 2022
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2022.08.004
risk managementrisk capital allocationpolynomial decision rulescenario-dependent allocation strategyscenario-dependent multivariate shortfall
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