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(May 10) Capital allocation with multivariate risk measures: an axiomatic approach

Last updated :2019-05-06

Topic: Capital allocation with multivariate risk measures: an axiomatic approach
Speaker: Professor HU Yijun
(Wuhan University)
Time: 15:30-16:30, Friday, May 10, 2019
Venue: 519 Meeting Room, Mathematics Building, Guangzhou South Campus, SYSU

Abstract:
In this talk,we will propose an axiom system for capital allocation with multivariate risk measures. We first recall the class of the positively homogeneous and subadditive multivariate risk measures, and provide the corresponding 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 multivariate mean-standard-deviation risk measures. This talk is based on a joint wok with Dr. Linxiao Wei.