On the impossibility of fair risk allocation

Csóka, Péter and Pintér, Miklós (2010) On the impossibility of fair risk allocation. Working Paper. Corvinus University of Budapest, Budapest.

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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 a coherent measure of risk it is impossible to allocate risk satisfying the natural requirements of (Solution) 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)
Uncontrolled Keywords:coherent measures of risk, risk allocation games, totally balanced games, exact games, Shapley value, solution core
Subjects:Mathematics, Econometrics
Funders:OTKA, János Bolyai Research Scholarship of the Hungarian Academy of Sciences
ID Code:499
Deposited By: Ádám Hoffmann
Deposited On:31 Jan 2012 15:54
Last Modified:18 Oct 2021 09:29

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