On the impossibility of fair risk allocation

Péter Csóka and Miklós Pintér

Corvinus Economics Working Papers (CEWP) from Corvinus University of Budapest

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 coherent measures of risk it is impossible to allocate risk satisfying simultaneously the natural requirements of 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.

Keywords: Coherent Measures of Risk; Risk Allocation Games; Totally Balanced Games; Exact Games; Shapley value; Core (search for similar items in EconPapers)
JEL-codes: C71 G10 (search for similar items in EconPapers)
Date: 2014-07-23
New Economics Papers: this item is included in nep-gth and nep-rmg
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Citations: View citations in EconPapers (1)

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https://unipub.lib.uni-corvinus.hu/1658/ original version (application/pdf)

Related works:
Journal Article: On the Impossibility of Fair Risk Allocation (2016)
Working Paper: On the Impossibility of Fair Risk Allocation (2011)
Working Paper: On the impossibility of fair risk allocation (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:cvh:coecwp:2014/12

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