Stable allocations of risk

• 成果类型: Article; Proceedings Paper
• 署名作者: Csoka, Peter; Herings, P. Jean-Jacques; Koczy, Laszlo A.
• 署名单位: Maastricht University; Corvinus University Budapest
• 刊物名称: GAMES AND ECONOMIC BEHAVIOR
• ISSN/ISSBN: 0899-8256
• DOI: 10.1016/j.geb.2008.11.001
• 发表日期: 2009
• 页码: 266-276
• 关键词: Coherent measures of risk; Risk allocation games; Totally balanced games; Exact games

摘要

The measurement and the allocation of risk are fundamental problems of portfolio management. Coherent measures of risk provide an axiomatic approach to the former problem. In an environment given by a coherent measure of risk and the various portfolios' realization vectors, risk allocation games aim at solving the second problem: How to distribute the diversification benefits of the various portfolios? Understanding these cooperative games helps us to find stable, efficient, and fair allocations of risk. We show that the class of risk allocation and totally balanced games coincide, hence a stable allocation of risk is always possible. When the aggregate portfolio is riskless, the class of risk allocation games coincides with the class of exact games. As in exact games any subcoalition may be subject to marginalization even in core allocations, our result further emphasizes the responsibility involved in allocating risk. (C) 2008 Elsevier Inc. All rights reserved.