Capital allocation rules and generalized collapse to the mean

Francesca CENTRONE, Emanuela Rosazza Gianin

Risultato della ricerca: Working paper

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 originaleInglese
Stato di pubblicazionePubblicato - 2024

Keywords

  • Capital allocations
  • Convex risk measures
  • Gateaux derivative.
  • Gradient allocation
  • Risk management

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