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
- Language
-
Englisch
- Bibliographic citation
-
Series: IEHAS Discussion Papers ; No. MT-DP - 2007/4
- Classification
-
Wirtschaft
Cooperative Games
- Subject
-
Coherent Measures of Risk
Risk Allocation Games
Totally Balanced Games
Exact Games
Risiko
Messung
Spieltheorie
Transferierbarer Nutzen
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Csóka, Péter
Herings, Jean-Jacques
Kóczy, László Á.
- Event
-
Veröffentlichung
- (who)
-
Hungarian Academy of Sciences, Institute of Economics
- (where)
-
Budapest
- (when)
-
2007
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Csóka, Péter
- Herings, Jean-Jacques
- Kóczy, László Á.
- Hungarian Academy of Sciences, Institute of Economics
Time of origin
- 2007
Other Objects (12)
Paths to stable allocations
Bank competition, asset allocations and risk of failure: An empirical investigation
Tax Implementability of Fair Allocations
Cryptocurrencies: A Copula Based Approach for Asymmetric Risk Marginal Allocations
Centrality-based capital allocations
Do permit allocations matter?
Understanding Pareto inefficient intrahousehold allocations
Behavioral Explanations of Efficient Public Good Allocations
Core allocations may not be Walras allocations in any large finite economy with indivisible commodities
Testing the Pareto efficiency of household resource allocations
The Determinants of China's International Portfolio Equity Allocations
On the Sequential Choice of Tradable Permit Allocations
Paths to stable allocations
Bank competition, asset allocations and risk of failure: An empirical investigation
Tax Implementability of Fair Allocations
Cryptocurrencies: A Copula Based Approach for Asymmetric Risk Marginal Allocations
Centrality-based capital allocations
Do permit allocations matter?
Understanding Pareto inefficient intrahousehold allocations
Behavioral Explanations of Efficient Public Good Allocations
Core allocations may not be Walras allocations in any large finite economy with indivisible commodities
Testing the Pareto efficiency of household resource allocations
The Determinants of China's International Portfolio Equity Allocations
On the Sequential Choice of Tradable Permit Allocations
Paths to stable allocations
Bank competition, asset allocations and risk of failure: An empirical investigation
Tax Implementability of Fair Allocations
Cryptocurrencies: A Copula Based Approach for Asymmetric Risk Marginal Allocations
Centrality-based capital allocations
Do permit allocations matter?
Understanding Pareto inefficient intrahousehold allocations
Behavioral Explanations of Efficient Public Good Allocations
Core allocations may not be Walras allocations in any large finite economy with indivisible commodities
Testing the Pareto efficiency of household resource allocations
The Determinants of China's International Portfolio Equity Allocations