Capital allocation à la Aumann-Shapley for non-differentiable risk measures

DOI10.1016/j.ejor.2017.11.051zbMath1403.91189OpenAlexW2620090292MaRDI QIDQ723951

Emanuela Rosazza Gianin, Francesca Centrone

Publication date: 25 July 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2017.11.051

zbMATH Keywords

Aumann-Shapley valuerisk managementGateaux differentialcapital allocation rulesconvex/quasi-convex risk measures

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

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