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 …

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 axiomatic approach to examine risk capital allocation, that is we call for …

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 …

The measurement and the allocation of risk are fundamental problems of portfolio management. Coherent measures of risk … even in core allocations, our result further emphasizes the responsibility in allocating risk … provide an axiomatic approach to the former problem. In an environment given by a coherent measure of risk and the various …

staying with the original outcome with the risk of deviating. Employing this idea to the core leads to a new concept that we … call the risk-based core. We introduce this concept and discuss its properties. We find an inclusion relation between cores … assumptions of the emerging state of the world. We borrow the idea of risk from the finance literature and compare the payoff of …