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

Altri file e collegamenti

handle

Cita questo

@article{198aa964b18a433489150ec3146faefc,

title = "Capital Allocation for risk measures: a numerical and comparative study",

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.",

author = "Canna Gabriele and Francesca CENTRONE and Emanuela, \{Rosazza Gianin\}",

year = "2019",

month = jan,

day = "1",

language = "English",

volume = "2",

pages = "19--29",

journal = "RISK MANAGEMENT MAGAZINE",

issn = "2612-3665",

}

TY - JOUR

T1 - Capital Allocation for risk measures: a numerical and comparative study

AU - Gabriele, Canna

AU - CENTRONE, Francesca

AU - Emanuela, Rosazza Gianin

PY - 2019/1/1

Y1 - 2019/1/1

N2 - 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.

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

M3 - Article

SN - 2612-3665

VL - 2

SP - 19

EP - 29

JO - RISK MANAGEMENT MAGAZINE

JF - RISK MANAGEMENT MAGAZINE

ER -

Capital Allocation for risk measures: a numerical and comparative study

Abstract

Altri file e collegamenti

Fingerprint

Cita questo