Which eligible assets are compatible with comonotonic capital requirements?
نویسندگان
چکیده
منابع مشابه
Measuring risk with multiple eligible assets
The risk of financial positions is measured by the minimum amount of capital to raise and invest in eligible portfolios of traded assets in order to meet a prescribed acceptability constraint. We investigate nondegeneracy, finiteness and continuity properties of these risk measures with respect to multiple eligible assets. Our finiteness and continuity results highlight the interplay between th...
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ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2018
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2018.04.003