Capital Allocation Rules and Generalized Collapse to the Mean

“In the [#riskmanagement] context of #capitalallocation principles for (not necessarily coherent) #riskmeasures, we derive – under mild conditions – some representation results as “collapse to the mean” in a generalized sense. This approach is related to the well-known Gradient allocation and allows to extend a result of Kalkbrener (Theorem 4.3 in cite{kalkbr05}) to a non-differentiable setting as well […]