Capital allocation with multivariate risk statistics with positive homogeneity and subadditivity
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Publication:6164736
DOI10.1080/03610926.2022.2032173OpenAlexW4210796376MaRDI QIDQ6164736
Publication date: 28 July 2023
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2022.2032173
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- CAPITAL ALLOCATION WITH MULTIVARIATE RISK MEASURES: AN AXIOMATIC APPROACH
- External Risk Measures and Basel Accords
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