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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- Eduard Kromer & Ludger Overbeck, 2013. "Suitability of Capital Allocations for Performance Measurement," Papers 1301.5497, arXiv.org, revised Jul 2014.
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- 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.
- 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.
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- Csóka, Péter, 2003.
"Koherens kockázatmérés és tőkeallokáció
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- 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.
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