Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/108113 
Erscheinungsjahr: 
2007
Schriftenreihe/Nr.: 
IEHAS Discussion Papers No. MT-DP - 2007/4
Verlag: 
Hungarian Academy of Sciences, Institute of Economics, Budapest
Zusammenfassung: 
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.
Schlagwörter: 
Coherent Measures of Risk
Risk Allocation Games
Totally Balanced Games
Exact Games
JEL: 
C71
ISBN: 
978-963-9796-01-0
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
337.67 kB





Publikationen in EconStor sind urheberrechtlich geschützt.