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- W1533695153 abstract "Abstract Capital allocation techniques are of central importance in portfolio management and risk‐based performance measurement. After a short review of the capital allocation problem and the existing literature, we present an axiomatic characterization of capital allocation. We analyze the relation between these axioms and properties of the associated risk measure and show that the allocation by the gradient (or Euler principle) is an immediate consequence of the proposed axioms. The axiomatization is applied to the most widely used risk measures in the finance industry to derive explicit capital allocation formulae for these measures." @default.
- W1533695153 created "2016-06-24" @default.
- W1533695153 creator A5041299754 @default.
- W1533695153 date "2010-02-26" @default.
- W1533695153 modified "2023-10-11" @default.
- W1533695153 title "Economic Capital Allocation" @default.
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- W1533695153 doi "https://doi.org/10.1002/9780470061602.eqf15006" @default.
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