Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation.

Wei Wang Huifu Xu Tiejun Ma

Published in: Eur. J. Oper. Res. (2023)

Keyphrases

dynamic programming
optimal allocation
optimal solution
resource allocation
optimal design
conditional expectation
risk assessment
multivariate time series
risk neutral
allocation policy
optimal scheduling
worst case
optimal control
minimum risk
dependence structure