Capital allocation à la Aumann–Shapley for non-differentiable risk measures-Reference-Cited by-同舟云学术

Capital allocation à la Aumann–Shapley for non-differentiable risk measures

Published:2018-06 Issue:2 Volume:267 Page:667-675
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Centrone Francesca^ORCID,Rosazza Gianin Emanuela

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference35 articles.

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5. Biagini, F., Fouque, J. P., Frittelli, M., & Meyer-Brandis, T. (2015). A unified approach to systemic risk measures via acceptance sets. arxiv: 1503.06354.

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