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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
OmniaScience
2015-04-01
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| Series: | Journal of Industrial Engineering and Management |
| Subjects: | |
| Online Access: | http://www.jiem.org/index.php/jiem/article/view/1375 |