This articlemodels the dependence risk and resource allocation characteristics of two 20-stock coal–uranium and oil … five risk measures. The paper's objectives are to find out if the oil and gas stocks are riskier than the coal and uranium … stocks, to identify the optimization method and risk measure that produce the best risk-return trade-off, to recognize the …

Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult … by a heavy-tailed background risk. A particular attention is given to the distortion and weighted risk measures and … allocations, as well as their special cases such as the conditional layer expectation, tail value at risk, and the truncated tail …