Zheng, Chengli; Chen, Yan - In: Journal of Industrial Engineering and Management (JIEM) 8 (2015) 2, pp. 530-553
Purpose: The potential of diversified portfolio leads to the risk capital allocation problem. There are many kinds of … better method, we propose a new risk measure to be the base of risk capital allocation rule. Design/methodology/approach: We …(IE), the other one is to combine the minimal excess allocation(EBA) principle and IE into risk capital allocation. The iso …