Volatile allocations

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Título: Volatile allocations / Tim Boonen

Notas: Sumario: Capital allocation is an important tool for the quantitative risk management of insurers, banks or other financial institutions. In the academic literature, one solution to this problem has gained predominance: the Euler rule. In this article, I show some pitfalls of this allocation rule and introduce an alternative: the t-risk capital allocation rule.

Outras classificações: 7

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