An axiomatic characterization of capital allocations of coherent risk measures

An axiomatic definition of coherent capital allocations is given. It is shown that coherent capital allocations defined by the proposed axiom system are closely linked to coherent risk measures. More precisely, the associated risk measure of a coherent capital allocation is coherent and, conversely, for every coherent risk measure there exists a coherent capital allocation.

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Year of publication:	2009
Authors:	Kalkbrener, Michael
Published in:	Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 9.2009, 8, p. 961-965
Publisher:	Taylor & Francis Journals
Subject:	Capital allocation \| Coherent risk measures

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008609622