Short communication: on the separability of vector-valued risk measures
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Publication:6648324
DOI10.1137/24m1679239MaRDI QIDQ6648324
Çağın Ararat, Zachary Feinstein
Publication date: 4 December 2024
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
dualitysystemic risk measureset-valued risk measurevector-valued risk measurecapital allocation rule
Statistical methods; risk measures (91G70) Set-valued functions (26E25) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Duality theory for topological vector spaces (46A20) Financial networks (including contagion, systemic risk, regulation) (91G45)
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