A numerical approach to the risk capital allocation problem
Year of publication: |
2021
|
---|---|
Authors: | Gzyl, Henryk ; Mayoral, Silvia |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 23.2021, 5, p. 55-78
|
Subject: | numerical risk capital allocation | corporate | financial and insurance risks | risk measure determinantion | inverse problem | maximum entropy in the mean (MEM) | Theorie | Theory | Risiko | Risk | Risikomaß | Risk measure | Entropie | Entropy | Risikokapital | Venture capital | Allokation | Allocation | Messung | Measurement | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection |
-
Wang, Wei, (2023)
-
Exploring entropy-based portfolio strategies : empirical analysis and cryptocurrency impact
Giunta, Nicolò, (2024)
-
Systematic stress tests with entropic plausibility constraints
Breuer, Thomas, (2013)
- More ...
-
A method for determining risk aversion functions from uncertain market prices of risk
Gzyl, Henryk, (2010)
-
Maxentropic approach to decompound aggregate risk losses
Gomes-Gonçalves, Erika, (2015)
-
Two maxentropic approaches to determine the probability density of compound risk losses
Gomes-Gonçalves, Erika, (2015)
- More ...