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Risk capital allocation: the Lorenz Set
Jens Leth Hougaard
, Aleksandrs Smilgins
Section for Production, Markets and Policy
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Keyphrases
Risk Capital Allocation
100%
New Axioms
66%
Allocation Problem
33%
Coherent Method
33%
Diversification Benefits
33%
Risk Capital
33%
Computer Science
Allocation Problem
100%
Individual Portfolio
100%
Mathematics
Nonuniqueness
100%