We introduce the notion of set-valued Capital Allocation rule, and study Capital allocation principles for multivariate set-valued coherent and convex risk measures. We compare these rules with some of those mostly used for univariate (single-valued) risk measures.
Capital allocation for set-valued risk measures
Francesca Centrone;
2020-01-01
Abstract
We introduce the notion of set-valued Capital Allocation rule, and study Capital allocation principles for multivariate set-valued coherent and convex risk measures. We compare these rules with some of those mostly used for univariate (single-valued) risk measures.File in questo prodotto:
File | Dimensione | Formato | |
---|---|---|---|
SSRN-id3373627.pdf
file ad accesso aperto
Descrizione: Articolo sottomesso a rivista internazionale
Tipologia:
Documento in Pre-print
Licenza:
DRM non definito
Dimensione
302.96 kB
Formato
Adobe PDF
|
302.96 kB | Adobe PDF | Visualizza/Apri |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.