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...

In finance risk capital allocation raises important questions both from theoretical and practical points of view. How to share risk of a portfolio among its subportfolios? How to reserve capital in order to hedge existing risk and how to assign this to different business units? We use an...

We give a new proof of Young's characterization of the Shapley value. Moreover, as applications of the new proof, we show that Young's axiomatization of the Shapley value is valid on various well-known subclasses of TU games.