学术报告(胡亦钧 5.10)

Capital allocation with multivariate risk measures: an axiomatic approach

编辑:www.9778com  发布人:周妍 发布日期:2019-05-06
主题
Capital allocation with multivariate risk measures: an axiomatic approach
活动时间
-
活动地址
数学楼519会议室
主讲人
胡亦钧 教授 武汉大学

摘要:

In this talk,we will propose an axiom system for capital allocation with multivariate risk measures.?We first recall the class ofthe positively homogeneous and subadditive multivariate risk measures,?and provide thecorresponding representation results. Then it is shown that for a given positively homogeneous?and subadditive multivariate risk measure, there exists a capital allocation principle. Furthermore,?the uniqueness of the capital allocation principle is characterized. Finally, examples are also given to derive?the explicit capital allocation principles for the multivariate risk measures based on mean and standard deviation,?including the multivariatemean-standard-deviation risk measures.
This talk is based on a joint wok with Dr. Linxiao Wei.

威斯尼斯人

2019年5月5日