Daniel Bauer, George Zanjani. The Marginal Cost of Risk, Risk Measures, and Capital Allocation. Management Science, 62(5):1431-1457, 2016. [doi]
@article{BauerZ16,
title = {The Marginal Cost of Risk, Risk Measures, and Capital Allocation},
author = {Daniel Bauer and George Zanjani},
year = {2016},
doi = {10.1287/mnsc.2015.2190},
url = {http://dx.doi.org/10.1287/mnsc.2015.2190},
researchr = {https://researchr.org/publication/BauerZ16},
cites = {0},
citedby = {0},
journal = {Management Science},
volume = {62},
number = {5},
pages = {1431-1457},
}