CAPITAL ALLOCATION FOR SET-VALUED RISK MEASURES

DOI10.1142/S0219024920500090zbMath1443.91340OpenAlexW3005117178MaRDI QIDQ5221484

Emanuela Rosazza Gianin, Francesca Centrone

Publication date: 26 March 2020

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024920500090

zbMATH Keywords

risk managementset-valued risk measurescoherent and convex risk measurescapital allocation rules

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

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