Capital allocation à la Aumann-Shapley for non-differentiable risk measures.

Francesca Centrone Emanuela Rosazza Gianin

Published in: Eur. J. Oper. Res. (2018)

Keyphrases

risk measures
allocation problems
axiomatic characterization
resource allocation
game theory
risk averse
portfolio optimization
cooperative
pricing mechanism
objective function
robust optimization
social welfare
utility function