Capital allocation with multivariate risk measures: an axiomatic approach
In this talk,we will propose an axiom system for capital allocation with multivariate risk measures.?We first recall the class ofthe positively homogeneous and subadditive multivariate risk measures,?and provide thecorresponding representation results. Then it is shown that for a given positively homogeneous?and subadditive multivariate risk measure, there exists a capital allocation principle. Furthermore,?the uniqueness of the capital allocation principle is characterized. Finally, examples are also given to derive?the explicit capital allocation principles for the multivariate risk measures based on mean and standard deviation,?including the multivariatemean-standard-deviation risk measures.
This talk is based on a joint wok with Dr. Linxiao Wei.