Allocation of risk capital based on iso-entropic coherent risk measure

Allocation of risk capital based on iso-entropic coherent risk measure

<p><strong><em>Purpose</em></strong><strong><em>: </em></strong>The potential of diversified portfolio leads to the risk capital allocation problem. There are many kinds of methods or rules to allocate risk capital.  However, they have flaws, suc...

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Bibliographic Details
Main Authors: Chengli Zheng, Yan Chen
Format: Article
Language:English
Published: OmniaScience 2015-04-01
Series:Journal of Industrial Engineering and Management
Subjects:
risk capital allocation
marginal risk contribution
minimal excess principle
iso-entropic coherent risk measure
Online Access:http://www.jiem.org/index.php/jiem/article/view/1375

Internet

http://www.jiem.org/index.php/jiem/article/view/1375

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