Capital Allocation Rules and Generalized Collapse to the Mean
19 Pages Posted: 9 Mar 2023 Last revised: 11 Mar 2024
Date Written: March 9, 2024
Abstract
In the context of capital allocation principles for risk measures and in the spirit of the result of Kalkbrener (Theorem 4.3 in \cite{kalkbr05}) concerning the relation between linear capital allocation rules and the well known Gradient allocation, we investigate an extension to the convex and non-differentiable case of the result above and the link with the ''generalized collapse to the mean'' problem.
Keywords: Risk management, Capital allocations, Convex risk measures, Gradient allocation, Gateaux derivative.
JEL Classification: C02; G22
Suggested Citation: Suggested Citation
Centrone, Francesca and Rosazza Gianin, Emanuela, Capital Allocation Rules and Generalized Collapse to the Mean (March 9, 2024). Available at SSRN: https://ssrn.com/abstract=4375751 or http://dx.doi.org/10.2139/ssrn.4375751
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