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Properties of risk capital allocation methods : core compatibility, equal treatment property and strong monotonicity
Balog, Dóra; Bátyi, Tamás László; Csóka, Péter; … - 2014
In finance risk capital allocation raises important questions both from theoretical and practical points of view. How to share risk of a portfolio among its subportfolios? How to reserve capital in order to hedge existing risk and how to assign this to different business units? We use an...
Persistent link: https://www.econbiz.de/10010381388
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Properties and comparison of risk capital allocation methods
Balog, Dóra; Bátyi, Tamás László; Csóka, Péter; … - In: European journal of operational research : EJOR 259 (2017) 2, pp. 614-625
Persistent link: https://www.econbiz.de/10011661761
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Properties of risk capital allocation methods: Core Compatibility, Equal Treatment Property and Strong Monotonicity
Balog, Dóra; Bátyi, Tamás László; Csóka, Péter; … - Közgazdaság-tudományi Intézet, Közgazdaság- és … - 2014
In finance risk capital allocation raises important questions both from theoretical and practical points of view. How to share risk of a portfolio among its subportfolios? How to reserve capital in order to hedge existing risk and how to assign this to different business units? We use an...
Persistent link: https://www.econbiz.de/10010941767
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Properties of risk capital allocation methods: Core Compatibility, Equal Treatment Property and Strong Monotonicity
Balog, Dóra; Bátyi, Tamás László; Csóka, Péter; … - Közgazdaságtudományi Kar, Budapesti Corvinus Egyetem - 2014
In finance risk capital allocation raises important questions both from theoretical and practical points of view. How to share risk of a portfolio among its subportfolios? How to reserve capital in order to hedge existing risk and how to assign this to different business units? We use an...
Persistent link: https://www.econbiz.de/10011019319