Zheng, Chengli; Chen, Yan - In: Journal of Industrial Engineering and Management (JIEM) 8 (2015) 2, pp. 530-553
Purpose: The potential of diversified portfolio leads to the risk capital allocation problem. There are many kinds of methods or rules to allocate risk capital. However, they have flaws, such as non-continuity, unfairness. In order to get a better method, we propose a new risk measure to be the...
