Abstract
In this paper we make a short survey on the problem of Capital Allocation through the use of risk
measures and we apply some of the most popular Capital Allocation methods to a portfolio of risky
positions by using Value at Risk, Conditional Value at Risk and the entropic risk measure. We then
discuss and compare the results found in our numerical example.
Lingua originale | Inglese |
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pagine (da-a) | 19-29 |
Numero di pagine | 11 |
Rivista | RISK MANAGEMENT MAGAZINE |
Volume | 2 |
Stato di pubblicazione | Pubblicato - 1 gen 2019 |