Repository logo

Infoscience

  • English
  • French
Log In
Logo EPFL, École polytechnique fédérale de Lausanne

Infoscience

  • English
  • French
Log In
  1. Home
  2. Academic and Research Output
  3. Journal articles
  4. Optimal Capital and Risk Allocations for Law-and Cash-Invariant Convex Functions
 
research article

Optimal Capital and Risk Allocations for Law-and Cash-Invariant Convex Functions

Svindland, Gregor
•
Filipovic, Damir  
2008
Finance and Stochastics

In this paper we provide the complete solution to the existence and characterization problem of optimal capital and risk allocations for not necessarily monotone, law-invariant convex risk measures on the model space Lp, for any p ε [1;∞]. Our main result says that the capital and risk allocation problem always admits a solution via contracts whose payoffs are defined as increasing Lipschitz continuous functions of the aggregate risk.

  • Files
  • Details
  • Metrics
Type
research article
DOI
10.1007/s00780-008-0069-5
Author(s)
Svindland, Gregor
Filipovic, Damir  
Date Issued

2008

Publisher

Springer Verlag

Published in
Finance and Stochastics
Volume

12

Start page

423

End page

439

Editorial or Peer reviewed

REVIEWED

Written at

OTHER

EPFL units
CSF  
Available on Infoscience
April 24, 2010
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/49666
Logo EPFL, École polytechnique fédérale de Lausanne
  • Contact
  • infoscience@epfl.ch

  • Follow us on Facebook
  • Follow us on Instagram
  • Follow us on LinkedIn
  • Follow us on X
  • Follow us on Youtube
AccessibilityLegal noticePrivacy policyCookie settingsEnd User AgreementGet helpFeedback

Infoscience is a service managed and provided by the Library and IT Services of EPFL. © EPFL, tous droits réservés