Csoka, Peter; Herings, P. Jean-Jacques; Koczy, Laszlo A. - Közgazdaság-tudományi Intézet, Közgazdaság- és … - 2007
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:...