GlueVaR measures in capital allocation applications
Year of publication: |
2014
|
---|---|
Authors: | Belles-Sampera, Jaume ; Guillén, Montserrat ; Santolino, Miguel |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 58.2014, p. 132-137
|
Subject: | Subadditivity | Tails | Distortion risk measure | Capital allocation | Risk aversion | Theorie | Theory | Messung | Measurement | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Risikoaversion | Risiko | Risk |
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