Short communication: on the separability of vector-valued risk measures
type: Item
instance of: scholarly article
title: Short communication: on the separability of vector-valued risk measures
author: Çağın Ararat
author: Zachary Feinstein
published in: SIAM Journal on Financial Mathematics
publication date: 2024-12-04T00:00:00Z
Mathematics Subject Classification ID: 26E25
Mathematics Subject Classification ID: 46A20
Mathematics Subject Classification ID: 46N10
Mathematics Subject Classification ID: 91G45
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 7953928
zbMATH Keywords: vector-valued risk measure
zbMATH Keywords: capital allocation rule
zbMATH Keywords: set-valued risk measure
zbMATH Keywords: systemic risk measure
zbMATH Keywords: duality
MaRDI profile type: Publication
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DOI: 10.1137/24M1679239
description: scientific article; zbMATH DE number 7953928