Multidimensional Coherent and Convex Risk Measures

DOI10.1137/S0040585X97983262zbMath1156.91399OpenAlexW2017739768MaRDI QIDQ3605049

A. V. Kulikov

Publication date: 19 February 2009

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97983262

zbMATH Keywords

capital allocationextreme elementsrisk contributionweighted V{\@}Rcone of currency exchange ratesmatrix of currency exchange ratesmultidimensional coherent and convex risk measurestail V{\@}R

Mathematics Subject Classification ID

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