Capital allocation for set-valued risk measures

Francesca CENTRONE; Emanuela Rosazza Gianin

doi:10.1142/S0219024920500090

Capital allocation for set-valued risk measures

Francesca CENTRONE, Emanuela Rosazza Gianin

Department of Economics and Business Studies

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Journal	International Journal of Theoretical and Applied Finance
Volume	23
Issue number	01
DOIs	https://doi.org/10.1142/S0219024920500090
Publication status	Published - 2020

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10.1142/S0219024920500090

http://hdl.handle.net/11579/103677

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title = "Capital allocation for set-valued risk measures",

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.",

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DO - 10.1142/S0219024920500090

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JO - International Journal of Theoretical and Applied Finance

JF - International Journal of Theoretical and Applied Finance

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Capital allocation for set-valued risk measures

Abstract

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