Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
6895009 | European Journal of Operational Research | 2018 | 29 Pages |
Abstract
We study capital allocation rules satisfying suitable properties for convex and quasi-convex risk measures, by focusing in particular on a family of capital allocation rules based on the dual representation for risk measures and inspired by the Aumann-Shapley allocation principle. These rules extend some well known methods of capital allocation for coherent and convex risk measures to the case of non-Gateaux-differentiable risk measures. We also analyze the properties of the allocation principles here introduced and discuss their suitability in the quasi-convex context.
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Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Francesca Centrone, Emanuela Rosazza Gianin,