Characterizing optimal allocations in quantile-based risk sharing
Year of publication: |
2020
|
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Authors: | Wang, Ruodu ; Wei, Yunran |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 93.2020, p. 288-300
|
Subject: | Expected Shortfall | Non-convexity | Pareto optimality | Risk sharing | Value-at-Risk | Theorie | Theory | Risikomaß | Risk measure | Risiko | Risk | Pareto-Optimum | Pareto efficiency | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Allokation | Allocation | Wohlfahrtsökonomik | Welfare economics |
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