Capital allocation à la Aumann-Shapley for non-differentiable risk measures
Francesca Centrone, Emanuela Rosazza Gianin
| Year of publication: |
1 June 2018
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| Authors: | Centrone, Francesca ; Rosazza Gianin, Emanuela |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 267.2018, 2 (1.6.), p. 667-675
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| Subject: | Risk management | Capital allocation rules | Convex/quasi-convex risk measures | Aumann-Shapley value | Gateaux differential | Risikomanagement | Risikomaß | Risk measure | Theorie | Theory | Risiko | Risk | Messung | Measurement | Portfolio-Management | Portfolio selection | Bankrisiko | Bank risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2017.11.051 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011812548