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ArticleRisk capital allocation by coherent risk measures based on one-sided moments

Unknown author2003

Article2003

Risk capital allocation by coherent risk measures based on one-sided moments

Unknown author

149 citations·0/0 files stored·Insurance Mathematics and Economics

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Risk and Portfolio Optimization Financial Risk and Volatility Modeling Probability and Risk Models

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References

1999Coherent Measures of Risk 2002Coherent Risk Measures on General Probability Spaces 1979Mathematical methods of game and economic theory 2001Coherent allocation of risk capital 2000Sensitivity analysis of Values at Risk 2000Coherent risk measures 2003Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall 2000Risk contributions and performance measurement

Cited by

2008Spectral risk measures and portfolio selection 2007Higher moment coherent risk measures 2007Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle 2017Insurance with multiple insurers: A game-theoretic approach 2007Coherent risk measures, coherent capital allocations and the gradient allocation principle 2008Two-sided coherent risk measures and their application in realistic portfolio optimization

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Year2003

Typearticle

Published2003-02-01

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations149

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/s0167-6687(02)00209-3

openalex_workW1999282148

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2007

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