Optimal capital and risk allocations for law- and cash-invariant convex functions
Year of publication: |
2008
|
---|---|
Authors: | Filipović, Damir ; Svindland, Gregor |
Published in: |
Finance and Stochastics. - Springer. - Vol. 12.2008, 3, p. 423-439
|
Publisher: |
Springer |
Subject: | Exact convolutions | Law-invariant risk measures | Optimal capital and risk allocations |
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