Arbeitspapier
Stable Allocations of Risk
Measuring risk can be axiomatized by the concept of coherent measures of risk. A risk environment specifies some individual portfolios' realization vectors and a coherent measure of risk. We consider sharing the risk of the aggregate portfolio by studying transferable utility cooperative games: risk allocation games. We show that the class of risk allocation games coincides with the class of totally balanced games. As a limit case the aggregate portfolio can have the same payoff in all states of nature. We prove that the class of risk allocation games with no aggregate uncertainty coincides with the class of exact games.
- ISBN
-
978-963-9796-01-0
- Sprache
-
Englisch
- Erschienen in
-
Series: IEHAS Discussion Papers ; No. MT-DP - 2007/4
- Klassifikation
-
Wirtschaft
Cooperative Games
- Thema
-
Coherent Measures of Risk
Risk Allocation Games
Totally Balanced Games
Exact Games
Risiko
Messung
Spieltheorie
Transferierbarer Nutzen
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Csóka, Péter
Herings, Jean-Jacques
Kóczy, László Á.
- Ereignis
-
Veröffentlichung
- (wer)
-
Hungarian Academy of Sciences, Institute of Economics
- (wo)
-
Budapest
- (wann)
-
2007
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Csóka, Péter
- Herings, Jean-Jacques
- Kóczy, László Á.
- Hungarian Academy of Sciences, Institute of Economics
Entstanden
- 2007
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