Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
6896832 | European Journal of Operational Research | 2015 | 15 Pages |
Abstract
A capital allocation scheme for a company that has a random total profit Y and uses a coherent risk measure Ï has been suggested. The scheme returns a unique real number ÎÏ*(X,Y), which determines the capital that should be allocated to company's subsidiary with random profit X. The resulting capital allocation is linear and diversifying as defined by Kalkbrener (2005). The problem is reduced to selecting the “center” of a non-empty convex weakly compact subset of a Banach space, and the solution to the latter problem proposed by Lim (1981) has been used. Our scheme can also be applied to selecting the unique Pareto optimal allocation in a wide class of optimal risk sharing problems.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Bogdan Grechuk,