Capital allocation with multivariate convex risk measures

DOI10.3934/jimo.2022231OpenAlexW4312613771MaRDI QIDQ2698586

Linhai Wei, Hu, Yijun

Publication date: 24 April 2023

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2022231

zbMATH Keywords

convex risk measurecapital allocationcoherent risk measureentropic risk measuremultivariate risk measure

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Actuarial mathematics (91G05) Financial networks (including contagion, systemic risk, regulation) (91G45)

Cites Work

• Unnamed Item
• Stochastic finance. An introduction in discrete time.
• The center of a convex set and capital allocation
• On multivariate extensions of value-at-risk
• Multi-portfolio time consistency for set-valued convex and coherent risk measures
• Capital allocation for portfolios with non-linear risk aggregation
• Multivariate extensions of expectiles risk measures
• Dynamic capital allocation with distortion risk measures
• Capital allocation à la Aumann-Shapley for non-differentiable risk measures
• On multivariate extensions of conditional-tail-expectation
• Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models
• A duality theory for set-valued functions. I: Fenchel conjugation theory
• Coherent risk measures, coherent capital allocations and the gradient allocation principle
• To split or not to split: Capital allocation with convex risk measures
• On convex principles of premium calculation
• Risk capital allocation by coherent risk measures based on one-sided moments.
• Convex measures of risk and trading constraints
• Time consistency for set-valued dynamic risk measures for bounded discrete-time processes
• A generalization of expected shortfall based capital allocation
• Vector-valued coherent risk measures
• Set-valued risk measures for conical market models
• Set-valued risk measures as backward stochastic difference inclusions and equations
• Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure
• On multivariate extensions of the conditional value-at-risk measure
• Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions
• Coherent and convex risk measures for portfolios with applications
• Consistent risk measures for portfolio vectors
• GlueVaR risk measures in capital allocation applications
• Haezendonck-Goovaerts capital allocation rules
• Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation
• Coherent Measures of Risk
• Mathematical Risk Analysis
• Duality for Set-Valued Measures of Risk
• Multivariate Shortfall Risk Allocation and Systemic Risk
• COMONOTONIC MEASURES OF MULTIVARIATE RISKS
• CAPITAL ALLOCATION WITH MULTIVARIATE RISK MEASURES: AN AXIOMATIC APPROACH
• MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK
• Time consistency of dynamic risk measures in markets with transaction costs
• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION

This page was built for publication: Capital allocation with multivariate convex risk measures