An axiomatic characterization of capital allocations of coherent risk measures

DOI10.1080/14697680902814266zbMath1182.91158OpenAlexW2024453899MaRDI QIDQ3404106

Michael Kalkbrener

Publication date: 5 February 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680902814266

zbMATH Keywords

coherent risk measurescapital allocation

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50) Portfolio theory (91G10)

Related Items (5)

On a capital allocation by minimization of some risk indicators ⋮ DIFFERENTIABILITY OF BSVIEs AND DYNAMIC CAPITAL ALLOCATIONS ⋮ CAPITAL ALLOCATION WITH MULTIVARIATE RISK MEASURES: AN AXIOMATIC APPROACH ⋮ Capital allocation with multivariate risk statistics with positive homogeneity and subadditivity ⋮ Measuring marginal risk contributions in credit portfolios

Cites Work

• Risk capital allocation by coherent risk measures based on one-sided moments.
• Optimal risk sharing with background risk
• Differentiability properties of rank-linear utilities
• Coherent Measures of Risk
• CAPITAL ALLOCATION AND RISK CONTRIBUTION WITH DISCRETE‐TIME COHERENT RISK
• OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
• Stochastic finance. An introduction in discrete time

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