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- Publisher Website: 10.1016/j.orl.2020.09.003
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Article: τ-value for risk capital allocation problems
| Title | τ-value for risk capital allocation problems |
|---|---|
| Authors | |
| Keywords | Cooperative game theory Risk capital allocation τ-value |
| Issue Date | 2020 |
| Citation | Operations Research Letters, 2020, v. 48, n. 6, p. 752-757 How to Cite? |
| Abstract | This paper introduces the τ-value for risk capital allocation. First, the existence of this value is shown. Second, the τ-value capital allocation rule is shown to satisfy six desirable properties. Finally, a characterization of this value for risk capital allocation problems is provided based on two additional properties. |
| Persistent Identifier | http://hdl.handle.net/10722/328790 |
| ISSN | 2023 Impact Factor: 0.8 2023 SCImago Journal Rankings: 0.449 |
| ISI Accession Number ID |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Boonen, Tim J. | - |
| dc.date.accessioned | 2023-07-22T06:24:04Z | - |
| dc.date.available | 2023-07-22T06:24:04Z | - |
| dc.date.issued | 2020 | - |
| dc.identifier.citation | Operations Research Letters, 2020, v. 48, n. 6, p. 752-757 | - |
| dc.identifier.issn | 0167-6377 | - |
| dc.identifier.uri | http://hdl.handle.net/10722/328790 | - |
| dc.description.abstract | This paper introduces the τ-value for risk capital allocation. First, the existence of this value is shown. Second, the τ-value capital allocation rule is shown to satisfy six desirable properties. Finally, a characterization of this value for risk capital allocation problems is provided based on two additional properties. | - |
| dc.language | eng | - |
| dc.relation.ispartof | Operations Research Letters | - |
| dc.subject | Cooperative game theory | - |
| dc.subject | Risk capital allocation | - |
| dc.subject | τ-value | - |
| dc.title | τ-value for risk capital allocation problems | - |
| dc.type | Article | - |
| dc.description.nature | link_to_subscribed_fulltext | - |
| dc.identifier.doi | 10.1016/j.orl.2020.09.003 | - |
| dc.identifier.scopus | eid_2-s2.0-85090858985 | - |
| dc.identifier.volume | 48 | - |
| dc.identifier.issue | 6 | - |
| dc.identifier.spage | 752 | - |
| dc.identifier.epage | 757 | - |
| dc.identifier.isi | WOS:000591510900012 | - |