Abstract
An axiomatic definition of coherent capital allocations is given. It is shown that coherent capital allocations defined by the proposed axiom system are closely linked to coherent risk measures. More precisely, the associated risk measure of a coherent capital allocation is coherent and, conversely, for every coherent risk measure there exists a coherent capital allocation.
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Acknowledgements
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Notes
†Recall Euler's well-known rule that states that if f : S → ℝ is positively homogeneous and differentiable at x ∊ S ⊆ ℝ
n
we have