Shapley Allocation — the effect of Services on Diversification

Peter Mitic () and Bertrand K. Hassani ()
Additional contact information
Peter Mitic: Santander UK
Bertrand K. Hassani: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, Santander UK

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: The Shapley method is applied to capital allocation in the context of a simple business model, where many business units supported by services. In this model the services are capable of either reducing the capital payable by the business units, or the opposite. A simple model of evaluating the value of coalitions is proposed, with a modification if a service is a member of the coalition. A closed form formula for the Shapley allocation to all players is derived, thus eliminating combinatorial problems.

Keywords: Allocation; Shapley; Operational Risk; Diversification; Service; Game theory; Capital value (search for similar items in EconPapers)
Date: 2015-06
New Economics Papers: this item is included in nep-cdm and nep-gth
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-01179057v1
References: Add references at CitEc
Citations:

Published in 2015

Downloads: (external link)
https://shs.hal.science/halshs-01179057v1/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:halshs-01179057

Access Statistics for this paper

More papers in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL
Bibliographic data for series maintained by CCSD ().