Abstract
In the context of capital allocation principles for risk measures and in the spirit of the result of Kalkbrener (Theorem 4.3 in [30]) concerning the relation between linear capital allocation rules and the well known Gradient allocation, we investigate an extension to the convex and non-differentiable case of the result above and the link with the ''generalized collapse to the mean'' problem.
Lingua originale | Inglese |
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Stato di pubblicazione | Pubblicato - 2024 |
Keywords
- Capital allocations
- Convex risk measures
- Gateaux derivative.
- Gradient allocation
- Risk management