Allocation of risk capital in a cost cooperative game induced by a modified expected shortfall
Year of publication: |
2021
|
---|---|
Authors: | Bernardi, Mauro ; Cerqueti, Roy ; Palestini, Arsen |
Published in: |
Journal of the Operational Research Society. - London : Taylor and Francis, ISSN 1476-9360, ZDB-ID 2007775-0. - Vol. 72.2021, 3, p. 628-641
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Subject: | cooperative market game | expected shortfall | Risk measures | Shapley value | systemic risk | value-at-risk | Risikomaß | Risk measure | Kooperatives Spiel | Cooperative game | Shapley-Wert | Portfolio-Management | Portfolio selection | Spieltheorie | Game theory | Risiko | Risk | Risikomanagement | Risk management | Messung | Measurement |
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