Csóka, Péter and Pintér, Miklós (2014) On the impossibility of fair risk allocation. Working Paper. Corvinus University of Budapest Faculty of Economics, Budapest.
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Abstract
Measuring and allocating risk properly are crucial for performance evaluation and internal capital allocation of portfolios held by banks, insurance companies, investment funds and other entities subject to financial risk. We show that by using coherent measures of risk it is impossible to allocate risk satisfying simultaneously the natural requirements of Core Compatibility, Equal Treatment Property and Strong Monotonicity. To obtain the result we characterize the Shapley value on the class of totally balanced games and also on the class of exact games.
| Item Type: | Monograph (Working Paper) |
|---|---|
| Series Name: | Corvinus Economics Working Papers - CEWP |
| Series Number / Identification Number: | 2014/12 |
| Uncontrolled Keywords: | Coherent Measures of Risk, Risk Allocation Games, Totally Balanced Games, Exact Games, Shapley value, Core |
| JEL classification: | C71 - Cooperative Games G10 - General Financial Markets: General (includes Measurement and Data) |
| Divisions: | Faculty of Business Administration > Institute of Finance and Accounting > Department of Finance Faculty of Economics > Department of Mathematics |
| Subjects: | Mathematics, Econometrics |
| Funders: | János Bolyai Research Scholarship of the Hungarian Academy of Sciences |
| Projects: | HAS LP-004/2010, OTKA PD 105859, MTA-BCE "Lendület" Strategic Interactions Research Group, OTKA K 101224 |
| References: | |
| ID Code: | 1658 |
| Deposited By: | Ádám Hoffmann |
| Deposited On: | 25 Jul 2014 09:40 |
| Last Modified: | 25 Jul 2014 11:31 |
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