Capital Allocation Rules and Acceptance Sets

24 Pages Posted: 18 Mar 2020

See all articles by Gabriele Canna

Gabriele Canna

University of Milano-Bicocca, Department of Statistics and Quantitative Methods

Francesca Centrone

Università del Piemonte Orientale - Dipartimento di Studi per l'Economia e l'Impresa

Emanuela Rosazza Gianin

University of Milano-Bicocca - Dip. di Statistica e Metodi Quantitativi

Date Written: February 19, 2020

Abstract

This paper introduces a new approach to face capital allocation problems from the perspective of acceptance sets, by defining the family of sub-acceptance sets. We study the relations between the notions of sub-acceptability and acceptability of a risky position as well as their impact on capital allocation rules; in this context, indeed, capital allocation rules are interpretable as tools for assessing the contribution of a sub-portfolio to a given portfolio in terms of acceptability instead of necessarily involving a risk measure. Furthermore, we investigate under which conditions on a capital allocation rule a representation of an acceptance set holds in terms of the capital allocation rule itself, thus extending to this setting the interpretation, classical in risk measures theory, of minimal amount required to hedge a risky position.

Keywords: Capital allocation, acceptance sets, convex risk measures, quasi-convex risk measures

Suggested Citation

Canna, Gabriele and Centrone, Francesca and Rosazza Gianin, Emanuela, Capital Allocation Rules and Acceptance Sets (February 19, 2020). Available at SSRN: https://ssrn.com/abstract=3541568 or http://dx.doi.org/10.2139/ssrn.3541568

Gabriele Canna

University of Milano-Bicocca, Department of Statistics and Quantitative Methods ( email )

Via Bicocca degli Arcimboldi 8
Milano, Milano 20126
Italy

Francesca Centrone (Contact Author)

Università del Piemonte Orientale - Dipartimento di Studi per l'Economia e l'Impresa ( email )

Via Perrone 18
Novara, 28100
Italy

Emanuela Rosazza Gianin

University of Milano-Bicocca - Dip. di Statistica e Metodi Quantitativi ( email )

Milan
Italy

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
75
Abstract Views
392
Rank
572,227
PlumX Metrics