Expectile-based capital allocation
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More about this item
Keywords
Risk management; Risk theory; Dependence modelling; Capital allocation; Expectiles; Elicitability; Copulas; 2010 Mathematics Subject Classification: 62H05; 91B05; 91G05;All these keywords.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2022-12-05 (Risk Management)
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