determine the capital allocation that minimizes the excesses of sets of portfolios in lexicographical sense. The excess of a set … allocation for which the largest excess is as small as possible. We show that this allocation rule yields a unique allocation …, and that it satisfies some desirable properties. We also show that the allocation can be determined by solving a series of …

determine the capital allocation that minimizes the excesses of sets of portfolios in lexicographical sense. The excess of a set … allocation for which the largest excess is as small as possible. We show that this allocation rule yields a unique allocation …, and that it satisfies some desirable properties. We also show that the allocation can be determined by solving a series of …

ensures the existence of a fair and efficient cost allocation. The set of all such cost allocations is called the least core …