Nematrian Reference Library
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Set out below is information (held by the Nematrian website) on the reference you have selected
| Reference | Title | Link |
| Artzner, P., Delbaen, F. and Koch-Medina, P. (2009) | Risk Measures and Efficient Use of Capital | here |
Abstract (partial)
"This paper is concerned with clarifying the link between risk measurement and capital efficiency. For this purpose we introduce risk measurement as the minimum cost of making a position acceptable by adding an optimal combination of multiple eligible assets. Under certain assumptions, it is shown that these risk measures have properties similar to those of coherent risk measures." |
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