On the Impossibility of Fair Risk Allocation

Arbeitspapier

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 coherent measures 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. Our result can also be seen as a downside of coherent measures of risk.

Object Details

• ISBN: 978-615-5024-53-5
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: IEHAS Discussion Papers ; No. MT-DP - 2011/17

Classification and Topics

• Classification: Wirtschaft ; Cooperative Games ; General Financial Markets: General (includes Measurement and Data)
• Subject: Coherent Measures of Risk ; Risk Allocation Games ; Totally Balanced Games ; Exact Games ; Shapley value ; Solution core ; Risikomaß ; Risikomanagement ; Shapley-Wert ; Spieltheorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Csóka, Péter ; Pintér, Péter Miklós
• Event: Veröffentlichung
• (who): Hungarian Academy of Sciences, Institute of Economics
• (where): Budapest
• (when): 2011

Further information

• Handle: http://hdl.handle.net/10419/108217
• Last update: 10.03.2025, 11:44 AM CET