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Capital Allocation and Its Discontents · Study

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ChapterCapital Allocation and Its Discontents

George Zanjani2013

Chapter2013

Capital Allocation and Its Discontents

26 citations·0/0 files stored·Springer eBooks

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Risk and Portfolio Optimization Insurance and Financial Risk Management Probability and Risk Models

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References

1999Coherent Measures of Risk 1988A value for n -person games 2005Quantitative Risk Management: Concepts, Techniques, and Tools 2002Convex measures of risk and trading constraints 1952Contributions to the Theory of Games 2002Spectral measures of risk: A coherent representation of subjective risk aversion 2015Values of Non-Atomic Games 2001Coherent allocation of risk capital

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2011Excess based allocation of risk capitalarticle · 15 shared references 2015The Marginal Cost of Risk, Risk Measures, and Capital Allocationarticle · 12 shared references 2011Risk capital allocation for RORAC optimizationarticle · 10 shared references 2020Holistic Principle for Risk Aggregation and Capital Allocationarticle · 10 shared references 2007To Split or Not to Split: Capital Allocation with Convex Risk Measuresarticle · 9 shared references 2007Capital Allocation for Insurance Companies — What Good IS IT ?article · 9 shared references

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Year2013

Typechapter

Published2013-01-01

VenueSpringer eBooks

Languageen

Citations26

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/978-1-4614-0155-1_29

openalex_workW2226456716

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