IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Stable Allocations of Risk

  • Péter Csóka

    ()

    (Department of Economics, Maastricht University)

  • P. Jean-Jacques Herings

    ()

    (Department of Economics, Maastricht University)

  • László Á. Kóczy

    ()

    (Budapest Tech)

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 benefts of the various portfolios? Un- derstanding 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.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://uni-obuda.hu/users/vecseya/RePEc/pkk/wpaper/0802.pdf
File Function: Revised and resubmitted manuscript
Download Restriction: no

Paper provided by Óbuda University, Keleti Faculty of Business and Management in its series Working Paper Series with number 0802.

as
in new window

Length: 20 pages
Date of creation: Jun 2007
Date of revision: Apr 2008
Handle: RePEc:pkk:wpaper:0802
Contact details of provider: Postal: 1084 Budapest, Tavaszmezö u. 15-17
Phone: +36-1-6665208
Fax: +36-1-6665209
Web page: http://www.kgk.uni-obuda.hu

More information through EDIRC

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as in new window
  1. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
  2. Ehud Kalai & Eitan Zemel, 1980. "Generalized Network Problems Yielding Totally Balanced Games," Discussion Papers 425, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  3. Legut, Jerzy, 1990. "On totally balanced games arising from cooperation in fair division," Games and Economic Behavior, Elsevier, vol. 2(1), pages 47-60, March.
  4. Tijs, S.H. & Parthasarathy, T. & Potters, J.A.M. & Rajendra Prasad, V., 1984. "Permutation games : Another class of totally balanced games," Other publications TiSEM a7edfa18-6224-4be3-b677-5, Tilburg University, School of Economics and Management.
  5. Csoka, Peter & Herings, P. Jean-Jacques & Koczy, Laszlo A., 2007. "Coherent measures of risk from a general equilibrium perspective," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2517-2534, August.
  6. Péter Csóka & P. Herings & László Kóczy, 2011. "Balancedness conditions for exact games," Mathematical Methods of Operations Research, Springer, vol. 74(1), pages 41-52, August.
  7. Calleja, Pedro & Borm, Peter & Hendrickx, Ruud, 2005. "Multi-issue allocation situations," European Journal of Operational Research, Elsevier, vol. 164(3), pages 730-747, August.
  8. Predtetchinski, Arkadi & Jean-Jacques Herings, P., 2004. "A necessary and sufficient condition for non-emptiness of the core of a non-transferable utility game," Journal of Economic Theory, Elsevier, vol. 116(1), pages 84-92, May.
  9. Hans Reijnierse & Jean Derks, 1998. "Note On the core of a collection of coalitions," International Journal of Game Theory, Springer, vol. 27(3), pages 451-459.
  10. Shapley, Lloyd S. & Shubik, Martin, 1969. "On market games," Journal of Economic Theory, Elsevier, vol. 1(1), pages 9-25, June.
  11. Carlo Acerbi & Dirk Tasche, 2001. "On the coherence of Expected Shortfall," Papers cond-mat/0104295, arXiv.org, revised May 2002.
  12. Biswas, A. K. & Parthasarathy, T. & Potters, J. A. M. & Voorneveld, M., 1999. "Large Cores and Exactness," Games and Economic Behavior, Elsevier, vol. 28(1), pages 1-12, July.
  13. Ehud Kalai & Eitan Zemel, 1980. "On Totally Balanced Games and Games of Flow," Discussion Papers 413, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  14. Acerbi, Carlo, 2002. "Spectral measures of risk: A coherent representation of subjective risk aversion," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1505-1518, July.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:pkk:wpaper:0802. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Alexandra Vécsey)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.