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.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11579/103679
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