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Risk capital allocation by coherent risk measures based on one-sided moments

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  • Fischer, T.

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  • Fischer, T., 2003. "Risk capital allocation by coherent risk measures based on one-sided moments," Insurance: Mathematics and Economics, Elsevier, vol. 32(1), pages 135-146, February.
    • Handle: RePEc:eee:insuma:v:32:y:2003:i:1:p:135-146
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    References listed on IDEAS

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    1. Gourieroux, C. & Laurent, J. P. & Scaillet, O., 2000. "Sensitivity analysis of Values at Risk," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 225-245, November.
    2. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
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