In this paper we make a short survey on the problem of Capital Allocation through the use of risk measures and we apply some of the most popular Capital Allocation methods to a portfolio of risky positions by using Value at Risk, Conditional Value at Risk and the entropic risk measure. We then discuss and compare the results found in our numerical example.
Capital Allocation for risk measures: a numerical and comparative study
Centrone Francesca;
2019-01-01
Abstract
In this paper we make a short survey on the problem of Capital Allocation through the use of risk measures and we apply some of the most popular Capital Allocation methods to a portfolio of risky positions by using Value at Risk, Conditional Value at Risk and the entropic risk measure. We then discuss and compare the results found in our numerical example.File in questo prodotto:
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