Capital Allocation Rules and Generalized Collapse to the Mean

19 Pages Posted: 9 Mar 2023 Last revised: 11 Mar 2024

See all articles by Francesca Centrone

Francesca Centrone

Università del Piemonte Orientale - Dipartimento di Studi per l'Economia e l'Impresa

Emanuela Rosazza Gianin

University of Milano-Bicocca - Dip. di Statistica e Metodi Quantitativi

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

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

Francesca Centrone (Contact Author)

Università del Piemonte Orientale - Dipartimento di Studi per l'Economia e l'Impresa ( email )

Via Perrone 18
Novara, 28100
Italy

Emanuela Rosazza Gianin

University of Milano-Bicocca - Dip. di Statistica e Metodi Quantitativi ( email )

Milan
Italy

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