Optimal Capital Allocation Principles
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1539-6975.2011.01408.x/fullpdf
Reference39 articles.
1. Spectral Measures of Risk: A Coherent Representation of Subjective Risk Aversion;Acerbi;Journal of Banking and Finance,2002
2. On the Coherence of Expected Shortfall;Acerbi;Journal of Banking and Finance,2002
3. Coherent Measures of Risk;Artzner;Mathematical Finance,1999
4. Allocation of Capital in the Insurance Industry;Cummins;Risk Management and Insurance Review,2000
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