Download This PaperCapital Allocation for Set-Valued Risk Measures
18 Pages Posted: 17 May 2019
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Capital Allocation for Set-Valued Risk Measures
Number of pages: 18
Posted: 17 May 2019
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Capital Allocation for Set-Valued Risk Measures
Electronic version of an article published as [International Journal of Theoretical and Applied Finance, Volume 23, Number 1, 2020, 16 pages] [DOI/10.1142/S0219024920500090] © [copyright World Scientific Publishing Company]
Posted: 01 Feb 2021
Date Written: April 16, 2019
Abstract
We introduce the notion of set-valued Capital Allocation rule, and study Capital allocation principles for multivariate set-valued coherent and convex risk measures. We compare these rules with some of those mostly used for univariate (single-valued) risk measures.
Suggested Citation: Suggested Citation
Centrone, Francesca and Rosazza Gianin, Emanuela, Capital Allocation for Set-Valued Risk Measures (April 16, 2019). Available at SSRN: https://ssrn.com/abstract=3373627 or http://dx.doi.org/10.2139/ssrn.3373627
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