Allocation of risk capital in a cost cooperative game induced by a modified expected shortfall

Mauro Bernardi, Roy Cerqueti, Arsen Palestini. Allocation of risk capital in a cost cooperative game induced by a modified expected shortfall. JORS, 72(3):628-641, 2021. [doi]

Authors

Mauro Bernardi

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Roy Cerqueti

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Arsen Palestini

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