Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/108113 
Year of Publication: 
2007
Series/Report no.: 
IEHAS Discussion Papers No. MT-DP - 2007/4
Publisher: 
Hungarian Academy of Sciences, Institute of Economics, Budapest
Abstract: 
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 games coincides with the class of totally balanced games. As a limit case the aggregate portfolio can have the same payoff in all states of nature. We prove that the class of risk allocation games with no aggregate uncertainty coincides with the class of exact games.
Subjects: 
Coherent Measures of Risk
Risk Allocation Games
Totally Balanced Games
Exact Games
JEL: 
C71
ISBN: 
978-963-9796-01-0
Document Type: 
Working Paper

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