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Boonen, T. (2020). τ-value for risk capital allocation problems Operations Research Letters, 48(6):752--757.

  • Affiliated author
    Tim Boonen
  • Publication year
    2020
  • Journal
    Operations Research Letters
View publication

This paper introduces the τ-value for risk capital allocation. First, the existence of this value is shown. Second, the τ-value capital allocation rule is shown to satisfy six desirable properties. Finally, a characterization of this value for risk capital allocation problems is provided based on two additional properties.