Abstract
This paper makes the point on a well known property of capital allocation rules, namely the one called no-undercut. Its desirability in capital allocation stems from some stability game theoretical features that are related to the notion of core, both for finite and infinite games. We review these aspects, by relating them to the properties of the risk measures that are involved in capital allocation problems. We also discuss some problems and possible extensions that arise when we deal with non-coherent risk measures.
Lingua originale | Inglese |
---|---|
Numero di articolo | 175 |
pagine (da-a) | 1-13 |
Numero di pagine | 13 |
Rivista | Mathematics |
Volume | 9 |
Numero di pubblicazione | 2 |
DOI | |
Stato di pubblicazione | Pubblicato - 2 gen 2021 |