In the context of capital allocation principles for risk measures and in the spirit of the result of Kalkbrener (Theorem 4.3 in [30]) 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.
Capital allocation rules and generalized collapse to the mean
Francesca Centrone
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2024-01-01
Abstract
In the context of capital allocation principles for risk measures and in the spirit of the result of Kalkbrener (Theorem 4.3 in [30]) 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.File in questo prodotto:
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