Risk capital allocation by coherent risk measures based on one-sided moments
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Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 32 (2003)
Issue (Month): 1 (February)
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Web page: http://www.elsevier.com/locate/inca/505554
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- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
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- Christian Gourieroux & J. P. Laurent & Olivier Scaillet, 2000. "Sensitivity Analysis of Values at Risk," Econometric Society World Congress 2000 Contributed Papers 0162, Econometric Society.
- Gouriéroux, Christian & Laurent, J.P. & Scaillet, Olivier, 1999. "Sensitivity Analysis of Values at Risk," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2000002, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 00 Jan 2000.
- repec:fth:inseep:2000-05 is not listed on IDEAS
- Eduard Kromer & Ludger Overbeck, 2013. "Suitability of Capital Allocations for Performance Measurement," Papers 1301.5497, arXiv.org, revised Nov 2013.
- Jacques Pézier, 2007. "Maximum Certain Equivalent Excess Returns and Equivalent Preference Criteria Part I - Theory," ICMA Centre Discussion Papers in Finance icma-dp2008-05, Henley Business School, Reading University, revised Dec 2008.
- Marco Corazza & Giovanni Fasano & Riccardo Gusso, 2011. "Particle Swarm Optimization with non-smooth penalty reformulation for a complex portfolio selection problem," Working Papers 2011_10, Department of Economics, University of Venice "Ca' Foscari".
- Buch, A. & Dorfleitner, G., 2008. "Coherent risk measures, coherent capital allocations and the gradient allocation principle," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 235-242, February.
- Chen, Zhiping & Wang, Yi, 2008. "Two-sided coherent risk measures and their application in realistic portfolio optimization," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2667-2673, December.
- Chen, Zhiping & Yang, Li, 2011. "Nonlinearly weighted convex risk measure and its application," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1777-1793, July.
- Assa Hirbod & Morales Manuel & Omidi Firouzi Hassan, 2013. "On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory," Papers 1311.0354, arXiv.org.
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