Optimal Allocation of Risk for Portfolios
2014 ◽
Vol 644-650
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pp. 6067-6070
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In this paper, we propose a framework of the optimal risk allocation, under the pareto optimal we give equivalent conditions and provided its representation theorem under Pareto-optimal allocation, Which is an extension of the ones introduced by Ludger Rüschendorf (2006).
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2014 ◽
Vol 18
(8)
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pp. 3259-3277
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2019 ◽
Vol 33
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pp. 1740-1747
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