Optimal Capital Allocation Principles

By Jan Dhaene, Andreas Tsanakas, Emiliano A. Valdez, Steven Vanduffel. 2005

245 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/5bdbb8a9f04b653dfe1dcf00fcdc2ea92074d7a9

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Zhongyi Yuan
2. Qihe Tang
3. Dingcheng Wang
4. Jostein Paulsen

In Finance

1. Zhongyi Yuan
2. Qihe Tang
3. Yiqing Chen
4. Dingcheng Wang
5. Kai Wang Ng
6. Yuebao Wang
7. Kam Chuen Yuen
8. Alexandru V. Asimit

In Management Science and Operations Research

1. Zhongyi Yuan
2. Qihe Tang
3. Yiqing Chen
4. Dingcheng Wang
5. Kai Wang Ng
6. Kam Chuen Yuen
7. Jostein Paulsen
8. Alexandru V. Asimit

Citations in the corpus

• Asymptotics for Risk Capital Allocations Based on Conditional Tail Expectation (2011, unknown): “See Section 6.3 of McNeil et al. (2005) for related discussions on this allocation as a consequence of the Euler principle, as well as Dhaene et al. (2011) for optimality studies of interest.”
• To Split or Not to Split: Capital Allocation with Convex Risk Measures (2007, unknown): “Remark 2: Consider risk measures defined by where ζ is an increasing function (Dhaene et al. (2005), Furman and Zitikis (2007)).”
• Randomly weighted sums of subexponential random variables with application to capital allocation (2014, methodology): “For more details and economic justifications of Euler’s principle, we refer the reader to Myers and Read (2001), McNeil et al. (2005) and Dhaene et al. (2012), among others.”