Capital allocation rules and the no-undercut property

Gabriele Canna, Francesca Centrone, Emanuela Rosazza Gianin

Risultato della ricerca: Contributo su rivistaArticolo di reviewpeer review

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 originaleInglese
Numero di articolo175
pagine (da-a)1-13
Numero di pagine13
RivistaMathematics
Volume9
Numero di pubblicazione2
DOI
Stato di pubblicazionePubblicato - 2 gen 2021

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