Optimal capital and risk allocations for law- and cash-invariant convex functions

Damir Filipović () and Gregor Svindland ()

Finance and Stochastics, 2008, vol. 12, issue 3, 423-439

Keywords: Exact convolutions; Law-invariant risk measures; Optimal capital and risk allocations; 91B28; 91B30; G32; C62 (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1007/s00780-008-0069-5

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