Allocation of risk capital based on iso-entropic coherent risk measure
نویسندگان
چکیده
منابع مشابه
Coherent allocation of risk capital∗
The allocation problem stems from the diversification effect observed in risk measurements of financial portfolios: the sum of the “risks” of many portfolios is larger than the “risk” of the sum of the portfolios. The allocation problem is to apportion this diversification advantage to the portfolios in a fair manner, yielding, for each portfolio, a risk appraisal that accounts for diversificat...
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ژورنال
عنوان ژورنال: Journal of Industrial Engineering and Management
سال: 2015
ISSN: 2013-0953,2013-8423
DOI: 10.3926/jiem.1375