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Red-blooded risk : the secret history of Wall Street

Brown, Aaron - 2012

Persistent link: https://www.econbiz.de/10009427753

Fair risk allocation in illiquid markets

Csóka, Péter - 2015

performance evaluation of the divisions. In this paper we use cooperative game theory and simulation to assess the possibility to …

Persistent link: https://www.econbiz.de/10010481803

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

Fair risk allocation in illiquid markets

Csóka, Péter - In: Finance research letters 21 (2017), pp. 228-234

Persistent link: https://www.econbiz.de/10011807792

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

Red-Blooded Risk : The Secret History of Wall Street

Brown, Aaron - 2011 - 1st ed.

-- Principle VI: Superposition -- Principle VII: Game Theory -- Chapter 4: The Secret History of Wall Street: 1654-1982 -- Pascal … -- Chapter 5: When Harry Met Kelly -- Kelly -- Harry -- Commodity Futures -- If Harry Knew Kelly -- Investment Growth Theory … Money: The Future -- Farmers and Millers -- Money, New and Improved -- A General Theory of Money -- Value and Money …

Persistent link: https://www.econbiz.de/10012688591

Strategic Rebalancing

Rattray, Sandy - 2019

A mechanical rebalancing strategy, such as a monthly or quarterly reallocation towards fixed portfolio weights, is an active strategy. Winning asset classes are sold and losers are bought. During crises, when markets are often trending, this can lead to substantially larger drawdowns than a...

Persistent link: https://www.econbiz.de/10012893403

Three essays on information and incentives

Bierbaum, Jürgen - 2003 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001749188

Pooling risk games

Alon, Tzvi; Haviv, Moshe - In: International game theory review 22 (2020) 3, pp. 1-28

Persistent link: https://www.econbiz.de/10012582722

On the impossibility of fair risk allocation

Csóka, Péter; Pintér, Miklós - 2011

Measuring and allocating risk properly are crucial for performance evaluation and internal capital allocation of portfolios held by banks, insurance companies, investment funds and other entities subject to financial risk. We show that by using coherent measures of risk it is impossible to...

Persistent link: https://www.econbiz.de/10008991828