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Enterprise Risk -Reward Optimization: Two Critical Approaches
Enterprise Risk -Reward Optimization: Two Critical Approaches In a very general setting this paper describes a straightforward, non-parametric approach to aggregate "stand-alone" ...Description: In a very general setting this paper describes a straightforward, non-parametric approach to aggregate "stand-alone" or marginal distributions with desired correlations without imposing additional assumptions on those marginals. We then develop two optimizations for the enterprise, one based on maximizing return on economic capital and the other based on a mean -semivariance efficient frontier from the investor point of view.
Hide- Authors: Damon D Levine
- Date: Aug 2016
- Competency: Results-Oriented Solutions>Actionable recommendations; Strategic Insight and Integration>Effective decision-making; Technical Skills & Analytical Problem Solving>Innovative solutions
- Topics: Enterprise Risk Management>Risk appetite; Enterprise Risk Management>Risk measurement - ERM