Static and dynamic risk capital allocations with the Euler rule
Year of publication: |
2019
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Authors: | Boonen, Tim J. |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 22.2019, 1, p. 1-15
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Subject: | dynamic capital allocation | Euler rule | proportional rule | simulation | value-at-risk (VaR) | Risikomaß | Risk measure | Theorie | Theory | Simulation | Allokation | Allocation | Risiko | Risk | Variationsrechnung | Variational method | Portfolio-Management | Portfolio selection | VAR-Modell | VAR model |
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