Similar Search Results

Allocation of risk capital in a cost cooperative game induced by a modified expected shortfall

Bernardi, Mauro; Cerqueti, Roy; Palestini, Arsen - In: Journal of the Operational Research Society 72 (2021) 3, pp. 628-641

Persistent link: https://www.econbiz.de/10012500976

Weak measurability and characterization of risk

Khan, Ali; Sun, Yeneng - In: Economic theory : official journal of the Society for … 13 (1999) 3, pp. 541-560

Persistent link: https://www.econbiz.de/10001389330

Stable allocations of risk

Csóka, Péter; Herings, Peter Jean-Jacques; Kóczy, … - In: Games and economic behavior 67 (2009) 1, pp. 266-276

Persistent link: https://www.econbiz.de/10003897209

Stable allocations of risk

Csóka, Péter; Herings, Peter Jean-Jacques; Kóczy, … - 2007

Persistent link: https://www.econbiz.de/10003647641

Characterization of risk : a sharp law of large numbers

Hammond, Peter J. (contributor); Sun, Yeneng (contributor) - 2007

Persistent link: https://www.econbiz.de/10003503830

Stable allocations of risk

Csóka, Péter (contributor); … - 2007

The measurement and the allocation of risk are fundamental problems of portfolio management. Coherent measures of risk … provide an axiomatic approach to the former problem. In an environment given by a coherent measure of risk and the various … portfolios' realization vectors, risk allocation games aim at solving the second problem: How to distribute the diversification …