Download This PaperCapital Allocation Rules and Generalized Collapse to the Mean
19 Pages Posted: 9 Mar 2023
Date Written: March 2, 2023
Abstract
In the context of capital allocation principles for (not necessarily coherent) risk measures, we derive - under mild conditions - some representation results as ``collapse to the mean'' in a generalized sense. This approach is related to the well-known Gradient allocation and allows to extend a result of Kalkbrener (Theorem 4.3 in \cite{kalkbr05}) to a non-differentiable setting as well as to more general capital allocation rules and risk measures.
Keywords: Risk management, Capital allocations, Convex risk measures, Gradient allocation, Gateaux derivative.
JEL Classification: C02
Suggested Citation: Suggested Citation
Centrone, Francesca and Rosazza Gianin, Emanuela, Capital Allocation Rules and Generalized Collapse to the Mean (March 2, 2023). Available at SSRN: https://ssrn.com/abstract=4375751 or http://dx.doi.org/10.2139/ssrn.4375751
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.