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Fair risk allocation in illiquid markets
Csóka, Péter - 2015
risky assets. Using coherent measures of risk the sum of the capital requirements of the divisions is larger than the … performance evaluation of the divisions. In this paper we use cooperative game theory and simulation to assess the possibility to … jointly satisfy three natural fairness requirements for allocating risk capital in illiquid markets: Core Compatibility, Equal …
Persistent link: https://www.econbiz.de/10010481803
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Properties and comparison of risk capital allocation methods
Balog, Dóra; Bátyi, Tamás László; Csóka, Péter; … - In: European journal of operational research : EJOR 259 (2017) 2, pp. 614-625
Persistent link: https://www.econbiz.de/10011661761
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Fair risk allocation in illiquid markets
Csóka, Péter - In: Finance research letters 21 (2017), pp. 228-234
Persistent link: https://www.econbiz.de/10011807792
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Risk capital allocation with autonomous subunits : the Lorenz set
Hougaard, Jens Leth; Smilgins, Aleksandrs - In: Insurance / Mathematics & economics 67 (2016), pp. 151-157
Persistent link: https://www.econbiz.de/10011457222
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Real options and intellectual property : capital budgeting under imperfect patent protection
Baecker, Philipp N. - 2007
Persistent link: https://www.econbiz.de/10003377450
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The effect of competition on R&D portfolio investments
Zschocke, Mark S.; Mantin, Benny; Jewkes, Elizabeth M. - In: Production and operations management : an international … 23 (2014) 8, pp. 1439-1449
Persistent link: https://www.econbiz.de/10010406247
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On the impossibility of fair risk allocation
Csóka, Péter; Pintér, Miklós - In: The B.E. journal of theoretical economics 16 (2016) 1, pp. 143-158
Persistent link: https://www.econbiz.de/10011431331
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T-value for risk capital allocation problems
Boonen, Tim J. - In: Operations research letters 48 (2020) 6, pp. 752-757
Persistent link: https://www.econbiz.de/10012430112
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Red-blooded risk : the secret history of Wall Street
Brown, Aaron - 2012
Persistent link: https://www.econbiz.de/10009427753
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Allocation of risk capital in a cost cooperative game induced by a modified expected shortfall
Bernardi, Mauro; Cerqueti, Roy; Palestini, Arsen - In: Journal of the Operational Research Society 72 (2021) 3, pp. 628-641
Persistent link: https://www.econbiz.de/10012500976