Capital Allocation Rules and Generalized Collapse to the Mean: Theory and Practice
In this paper, we focus on capital allocation methods based on marginal contributions. In particular, concerning the relation between linear capital allocation rules and the well-known Gradient (or Euler) allocation, we investigate an extension to the convex and non-differentiable case of the result...
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| Format: | Article |
| Language: | English |
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MDPI AG
2025-03-01
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| Series: | Mathematics |
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| Online Access: | https://www.mdpi.com/2227-7390/13/6/964 |
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| author | Francesca Centrone Emanuela Rosazza Gianin |
| author_facet | Francesca Centrone Emanuela Rosazza Gianin |
| author_sort | Francesca Centrone |
| collection | DOAJ |
| description | In this paper, we focus on capital allocation methods based on marginal contributions. In particular, concerning the relation between linear capital allocation rules and the well-known Gradient (or Euler) allocation, we investigate an extension to the convex and non-differentiable case of the result above and its link with the “generalized collapse to the mean” problem. This preliminary result goes in the direction of applying the popular marginal contribution method, which fosters the diversification of risk, to the case of more general risk measures. In this context, we will also discuss and point out some numerical issues linked to marginal methods and some future research directions. |
| format | Article |
| id | doaj-art-db2292e302dc4b288e27090aff7d5022 |
| institution | DOAJ |
| issn | 2227-7390 |
| language | English |
| publishDate | 2025-03-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Mathematics |
| spelling | doaj-art-db2292e302dc4b288e27090aff7d50222025-08-20T02:42:26ZengMDPI AGMathematics2227-73902025-03-0113696410.3390/math13060964Capital Allocation Rules and Generalized Collapse to the Mean: Theory and PracticeFrancesca Centrone0Emanuela Rosazza Gianin1Department of Economics and Business Studies, University of Eastern Piedmont, 28100 Novara, ItalyDepartment of Statistics and Quantitative Methods, University of Milano-Bicocca, 20126 Milano, ItalyIn this paper, we focus on capital allocation methods based on marginal contributions. In particular, concerning the relation between linear capital allocation rules and the well-known Gradient (or Euler) allocation, we investigate an extension to the convex and non-differentiable case of the result above and its link with the “generalized collapse to the mean” problem. This preliminary result goes in the direction of applying the popular marginal contribution method, which fosters the diversification of risk, to the case of more general risk measures. In this context, we will also discuss and point out some numerical issues linked to marginal methods and some future research directions.https://www.mdpi.com/2227-7390/13/6/964risk managementcapital allocationrisk measuresactuarial sciencesEuler method |
| spellingShingle | Francesca Centrone Emanuela Rosazza Gianin Capital Allocation Rules and Generalized Collapse to the Mean: Theory and Practice Mathematics risk management capital allocation risk measures actuarial sciences Euler method |
| title | Capital Allocation Rules and Generalized Collapse to the Mean: Theory and Practice |
| title_full | Capital Allocation Rules and Generalized Collapse to the Mean: Theory and Practice |
| title_fullStr | Capital Allocation Rules and Generalized Collapse to the Mean: Theory and Practice |
| title_full_unstemmed | Capital Allocation Rules and Generalized Collapse to the Mean: Theory and Practice |
| title_short | Capital Allocation Rules and Generalized Collapse to the Mean: Theory and Practice |
| title_sort | capital allocation rules and generalized collapse to the mean theory and practice |
| topic | risk management capital allocation risk measures actuarial sciences Euler method |
| url | https://www.mdpi.com/2227-7390/13/6/964 |
| work_keys_str_mv | AT francescacentrone capitalallocationrulesandgeneralizedcollapsetothemeantheoryandpractice AT emanuelarosazzagianin capitalallocationrulesandgeneralizedcollapsetothemeantheoryandpractice |