Capital Allocation for risk measures: a numerical and comparative study

Canna Gabriele; Francesca CENTRONE; Rosazza Gianin Emanuela

Capital Allocation for risk measures: a numerical and comparative study

Canna Gabriele, Francesca CENTRONE, Rosazza Gianin Emanuela

Dipartimento di Studi per l'Economia e l'Impresa

Risultato della ricerca: Contributo su rivista › Articolo in rivista › peer review

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
pagine (da-a)	19-29
Numero di pagine	11
Rivista	RISK MANAGEMENT MAGAZINE
Volume	2
Stato di pubblicazione	Pubblicato - 1 gen 2019

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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.",

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AB - 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.

UR - https://iris.uniupo.it/handle/11579/103679

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Capital Allocation for risk measures: a numerical and comparative study

Abstract

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