Risk allocation games are cooperative games that are used to attribute the risk of a financial entity to its divisions. In this paper, we extend the literature on risk allocation games by incorporating liquidity considerations. A liquidity policy specifies state-dependent liquidity requirements...

We provide two new characterizations of exact games. First, a game is exact if and only if it is exactly balanced; and second, a game is exact if and only if it is totally balanced and overbalanced. The condition of exact balancedness is identical to the one of balancedness, except that one of the...

We provide two new characterizations of exact games. First, a game is exact if and only if it is exactly balanced; and second, a game is exact if and only if it is totally balanced and overbalanced. The condition of exact balancedness is identical to the one of balancedness, except that one of the...

The measurement and the allocation of risk are fundamental problems of portfolio management. Coherent measures of risk provide an axiomatic approach to the former problem. In an environment given by a coherent measure of risk and the various portfolios' realization vectors, risk allocation games...

We generalize exactness to games with non-transferable utility (NTU). A game is exact if for each coalition there is a core allocation on the boundary of its payoff set. Convex games with transferable utility are well-known to be exact. We consider five generalizations of convexity in the NTU...