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Capital Allocation Rules and the No-Undercut Property

Author

Listed:
  • Gabriele Canna

    (Department of Statistics and Quantitative Methods, Università di Milano Bicocca, 20126 Milano, Italy
    These authors contributed equally to this work.)

  • Francesca Centrone

    (Department of Studies for Economics and Business, Università del Piemonte Orientale, 28100 Novara, Italy)

  • Emanuela Rosazza Gianin

    (Department of Statistics and Quantitative Methods, Università di Milano Bicocca, 20126 Milano, Italy
    These authors contributed equally to this work.)

Abstract

This paper makes the point on a well known property of capital allocation rules, namely the one called no-undercut . Its desirability in capital allocation stems from some stability game theoretical features that are related to the notion of core, both for finite and infinite games. We review these aspects, by relating them to the properties of the risk measures that are involved in capital allocation problems. We also discuss some problems and possible extensions that arise when we deal with non-coherent risk measures.

Suggested Citation

  • Gabriele Canna & Francesca Centrone & Emanuela Rosazza Gianin, 2021. "Capital Allocation Rules and the No-Undercut Property," Mathematics, MDPI, vol. 9(2), pages 1-13, January.
    • Handle: RePEc:gam:jmathe:v:9:y:2021:i:2:p:175-:d:481411
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    References listed on IDEAS

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