On the impossibility of fair risk allocation

Péter Csóka and Miklós Pintér

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Coherent Measures of Risk; Risk Allocation Games; Totally Balanced Games; Exact Games; Shapley value; Solution core (search for similar items in EconPapers)
JEL-codes: C71 G10 (search for similar items in EconPapers)
Date: 2010-11-07
New Economics Papers: this item is included in nep-ban and nep-gth
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Journal Article: On the Impossibility of Fair Risk Allocation (2016)
Working Paper: On the impossibility of fair risk allocation (2014)
Working Paper: On the Impossibility of Fair Risk Allocation (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:26515

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