Capital Allocation à La Aumann-Shapley for Non Differentiable Risk Measures

We introduce a family of Capital allocation rules (C.A.R) based on the dual representation for risk measures and inspired to the Aumann-Shapley allocation principle. These rules extend the one of Denault and Kalkbrener (for coherent risk measures) and the one of Tsanakas (convex case), to the case of non Gateaux differentiable risk measures. We also study their properties and discuss their suitability in the quasiconvex context

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Year of publication:	2017
Authors:	Centrone, Francesca
Other Persons:	Rosazza Gianin, Emanuela (contributor)
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Messung \| Measurement \| Risiko \| Risk \| Risikomaß \| Risk measure \| Portfolio-Management \| Portfolio selection

Extent:	1 Online-Ressource (20 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 1, 2017 erstellt
Other identifiers:	10.2139/ssrn.2944661 [DOI]
Classification:	C71 - Cooperative Games ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; G11 - Portfolio Choice ; G32 - Financing Policy; Capital and Ownership Structure
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012959630