Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation
Wei Wang, Huifu Xu, Tiejun Ma
| Year of publication: |
2023
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|---|---|
| Authors: | Wang, Wei ; Xu, Huifu ; Ma, Tiejun |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 306.2023, 1 (1.4.), p. 322-347
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| Subject: | Risk management | Scenario-dependent multivariate shortfall | Polynominal decision rule | Scenario-dependent allocation strategy | Risk capital allocation | Risikomanagement | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Theorie | Theory | Allokation | Allocation | Risiko | Risk | Risikokapital | Venture capital | Messung | Measurement | Multivariate Analyse | Multivariate analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2022.08.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014278005