Capital Allocation for Set-Valued Risk Measures

18 Pages Posted: 17 May 2019

See all articles by Francesca Centrone

Francesca Centrone

Università del Piemonte Orientale - Dipartimento di Studi per l'Economia e l'Impresa

Emanuela Rosazza Gianin

University of Milano-Bicocca - Dip. di Statistica e Metodi Quantitativi

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Date Written: April 16, 2019

Abstract

We introduce the notion of set-valued Capital Allocation rule, and study Capital allocation principles for multivariate set-valued coherent and convex risk measures. We compare these rules with some of those mostly used for univariate (single-valued) risk measures.

Suggested Citation

Centrone, Francesca and Rosazza Gianin, Emanuela, Capital Allocation for Set-Valued Risk Measures (April 16, 2019). Available at SSRN: https://ssrn.com/abstract=3373627 or http://dx.doi.org/10.2139/ssrn.3373627

Francesca Centrone

Università del Piemonte Orientale - Dipartimento di Studi per l'Economia e l'Impresa ( email )

Via Perrone 18
Novara, 28100
Italy

Emanuela Rosazza Gianin (Contact Author)

University of Milano-Bicocca - Dip. di Statistica e Metodi Quantitativi ( email )

Milan
Italy

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