Allocation of risk capital in a cost cooperative game induced by a modified expected shortfall
Mauro Bernardi, Roy Cerqueti and Arsen Palestini
| Year of publication: |
2021
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|---|---|
| Authors: | Bernardi, Mauro ; Cerqueti, Roy ; Palestini, Arsen |
| Published in: |
Journal of the Operational Research Society. - London : Taylor and Francis, ISSN 1476-9360, ZDB-ID 2007775-0. - Vol. 72.2021, 3, p. 628-641
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| Subject: | cooperative market game | expected shortfall | Risk measures | Shapley value | systemic risk | value-at-risk | Risikomaß | Risk measure | Kooperatives Spiel | Cooperative game | Shapley-Wert | Risiko | Risk | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Systemrisiko | Systemic risk | Spieltheorie | Game theory | Messung | Measurement |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/01605682.2019.1686958 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012500976