Allocation of risk capital in a cost cooperative game induced by a modified expected shortfall.
Mauro BernardiRoy CerquetiArsen PalestiniPublished in: J. Oper. Res. Soc. (2021)
Keyphrases
- cooperative game
- opportunity cost
- allocation problems
- risk neutral
- total cost
- cost savings
- optimal strategy
- expected cost
- high risk
- resource allocation
- risk factors
- high cost
- neural network
- confidence intervals
- operational risk
- optimal allocation
- cost reduction
- sufficient conditions
- dynamic programming
- dynamic allocation
- joint replenishment
- special case
- bayesian networks