Arne Buch

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Risk Capital Allocation for RORAC Optimization

Journal of Banking and Finance, Vol. 35, pp. 3001-3009, 2011
Number of pages: 23 Posted: 06 Jul 2010 Last Revised: 31 Aug 2011
affiliation not provided to SSRN, University of Augsburg - Department of Statistics and Mathematical Economic TheoryUniversity of Regensburg - Department of Finance and University of Regensburg
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Citation 2

Abstract:

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Risk capital, Economic capital, Capital allocation, Gradient allocation, Euler allocation, RORAC