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

Dipartimento di Studi per l'Economia e l'Impresa

Risultato della ricerca: Contributo su rivista › Articolo in rivista › 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.

Lingua originale	Inglese
Rivista	International Journal of Theoretical and Applied Finance
Volume	23
Numero di pubblicazione	01
DOI	https://doi.org/10.1142/S0219024920500090
Stato di pubblicazione	Pubblicato - 2020

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10.1142/S0219024920500090

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

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Capital allocation for set-valued risk measures

Abstract

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