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HomeApplied Mechanics and MaterialsApplied Mechanics and Materials Vols. 644-650Optimal Allocation of Risk for Portfolios

Optimal Allocation of Risk for Portfolios

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Abstract:

In this paper, we propose a framework of the optimal risk allocation, under the pareto optimal we give equivalent conditions and provided its representation theorem under Pareto-optimal allocation, Which is an extension of the ones introduced by Ludger Rüschendorf (2006).

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Periodical:

Applied Mechanics and Materials (Volumes 644-650)

Pages:

6067-6070

DOI:

https://doi.org/10.4028/www.scientific.net/AMM.644-650.6067

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Online since:

September 2014

Authors:

Hong Wei Liu*, Cai Bo Xiao

Keywords:

Pareto Optimal, Product Space, Risk Measure

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© 2014 Trans Tech Publications Ltd. All Rights Reserved

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