Capital Allocation Rules and the No-Undercut Property

Gabriele Canna, Francesca Centrone and Emanuela Rosazza Gianin
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Gabriele Canna: Department of Statistics and Quantitative Methods, Università di Milano Bicocca, 20126 Milano, Italy
Francesca Centrone: Department of Studies for Economics and Business, Università del Piemonte Orientale, 28100 Novara, Italy
Emanuela Rosazza Gianin: Department of Statistics and Quantitative Methods, Università di Milano Bicocca, 20126 Milano, Italy

Mathematics, 2021, vol. 9, issue 2, 1-13

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.

Keywords: capital allocation; risk measures; cooperative games; Choquet integral (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2021
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