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Differentiability of the efficient frontier when commitment to risk sharing is limited
Koeppl, Thorsten V. (contributor) - In: Topics in macroeconomics 6 (2006) 1, pp. 1-6
Persistent link: https://www.econbiz.de/10003310325
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On the rate allocation problem under co-existance of uncertain utility function parameters and uncertain link capacities
Gąsior, Dariusz; Orski, Donat - In: Journal of the Operational Research Society : OR 65 (2014) 10, pp. 1562-1570
Persistent link: https://www.econbiz.de/10010416649
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On the lattice structure of stable allocations in a two-sided discrete-concave market
Murota, Kazuo; Yokoi, Yu - In: Mathematics of operations research 40 (2015) 2, pp. 460-473
Persistent link: https://www.econbiz.de/10011283234
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An allocation mechanism, a measure of risk aversion and an experiment
Marrewijk, Charles van - 1990
Persistent link: https://www.econbiz.de/10000783164
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Allocating resources in an uncertain world : water management and endangered species
Woodward, Richard T.; Shaw, William D. - In: American journal of agricultural economics 90 (2008) 3, pp. 593-605
Persistent link: https://www.econbiz.de/10003727749
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Connection situations under uncertainty
Moretti, Stefano; Alparslan-Gök, S. Zeynep; Brânzei, … - 2008
Persistent link: https://www.econbiz.de/10003752497
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Risk transfer with CDOs
Krahnen, Jan Pieter (contributor);  … - 2008
. This paper aims to resolve a part of the opaqueness surrounding credit-risk allocation to tranches that represent claims of … different seniority on a reference portfolio. In particular, this paper analyzes the allocation of credit risk to different … risk in CDO transactions. We propose a metric for capturing the allocation of systematic risk to tranches. First, in …
Persistent link: https://www.econbiz.de/10003768041
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Kapitalallokation bei elliptischverteilten Risiken
Marquardt, Benjamin - In: Risikomanagement, (pp. 37-65). 2005
Persistent link: https://www.econbiz.de/10003339284
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Capital allocation and risk contribution with discrete-time coherent risk
Cherny, Alexander S. - In: Mathematical finance : an international journal of … 19 (2009) 1, pp. 13-40
Persistent link: https://www.econbiz.de/10003818201
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Optimal risk sharing under distorted probabilities
Ludkovski, Michael; Young, Virginia R. - In: Mathematics and financial economics 2 (2009) 2, pp. 87-105
Persistent link: https://www.econbiz.de/10003871600