Svindland, GregorFilipovic, Damir2010-04-242010-04-242010-04-24200810.1007/s00780-008-0069-5https://infoscience.epfl.ch/handle/20.500.14299/49666In 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.text::journal::journal article::research article