CAPITAL ALLOCATION AND RISK CONTRIBUTION WITH DISCRETE‐TIME COHERENT RISK

DOI10.1111/j.1467-9965.2008.00355.xzbMath1155.91400OpenAlexW1994745758MaRDI QIDQ3608733

Alexander S. Cherny

Publication date: 6 March 2009

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2008.00355.x

zbMATH Keywords

generatorcapital allocationrisk contributiondetermining systemdynamic coherent risk measurerisk metricsdynamic weighted V\@Rextreme system

Mathematics Subject Classification ID

Related Items (11)

RISK-REWARD OPTIMIZATION WITH DISCRETE-TIME COHERENT RISK ⋮ REPRESENTATION OF BSDE-BASED DYNAMIC RISK MEASURES AND DYNAMIC CAPITAL ALLOCATIONS ⋮ A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations ⋮ On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation ⋮ DIFFERENTIABILITY OF BSVIEs AND DYNAMIC CAPITAL ALLOCATIONS ⋮ Risk contributions: duality and sensitivity ⋮ Pricing and hedging European options with discrete-time coherent risk ⋮ A DYNAMIC MODEL OF CENTRAL COUNTERPARTY RISK ⋮ A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective ⋮ An axiomatic characterization of capital allocations of coherent risk measures ⋮ Ruin-based risk measures in discrete-time risk models

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