Logo
Munich Personal RePEc Archive

On the impossibility of fair risk allocation

Csóka, Péter and Pintér, Miklós (2010): On the impossibility of fair risk allocation.

[thumbnail of MPRA_paper_26515.pdf]
Preview
PDF
MPRA_paper_26515.pdf

Download (339kB) | Preview

Abstract

Measuring and allocating risk properly are crucial for performance evaluation and internal capital allocation of portfolios held by banks, insurance companies, investment funds and other entities subject to financial risk. We show that by using a coherent measure of risk it is impossible to allocate risk satisfying the natural requirements of (Solution) Core Compatibility, Equal Treatment Property and Strong Monotonicity. To obtain the result we characterize the Shapley value on the class of totally balanced games and also on the class of exact games.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.