67 research outputs found
Value allocations in economies with coalition structure
We embody a notion of stability for coalition structures by Hart and Kurz (1983) into the framework of general equilibrium, by generalizing the classical value allocation notion (Shapley, 1969) to situations where: (a) agents organize themselves voluntarily into coalition structures (b) the process of coalition formation is treated as endogenous. To this end we introduce the definition of stable coalition structure value allocation and provide, under standard hypotheses, a preliminary existence result for the three player case in an exchange economy.
Coalitional extreme desirability in finitely additive exchange economies
We define a new notion of extreme desirability for economies in coalitional
form. Through this, we obtain a finitely additive core-Walras equivalence theorem for
an exchange economy with a measure space of agents and an infinite dimensional
commodity space, whose positive cone has possibly empty interior
Capital allocation for set-valued risk measures
We introduce the notion of set-valued Capital Allocation rule, and study Capital allocation principles for multivariate set-valued coherent and convex risk measures. We compare these rules with some of those mostly used for univariate (single-valued) risk measures
Capital Allocation \ue0 La Aumann-Shapley for Non Differentiable Risk Measures
We study capital allocation rules satisfying suitable properties for convex and quasi-convex risk measures,
by focusing in particular on a family of capital allocation rules based on the dual representation for
risk measures and inspired by the Aumann\u2013Shapley allocation principle. These rules extend some well
known methods of capital allocation for coherent and convex risk measures to the case of non-Gateauxdifferentiable
risk measures. We also analyze the properties of the allocation principles here introduced
and discuss their suitability in the quasi-convex context
Capital allocation rules and generalized collapse to the mean
In the context of capital allocation principles for (not necessarily coherent)
risk measures, 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 [27]) to a non-differentiable setting as well as to more general
capital allocation rules and risk measures
Coalitional extreme desirability in finitely additive economies with asymmetric information
We prove a coalitional core-Walras equivalence theorem for an asymmetric information exchange
economy with a finitely additive measure space of agents, finitely many states of nature, and an
infinite dimensional commodity space having the Radon\u2013Nikodym property and whose positive cone
has possibly empty interior. The result is based on a new cone condition, firstly developed in Centrone
and Martellotti (2015), called coalitional extreme desirability. We also formulate a notion of incentive
compatibility suitable for coalitional models and study it in relation to equilibria
Capital allocation rules and the no-undercut property
This paper makes the point on a well known property of capital allocation rules, namely the
one called no-undercut. Its desirability in capital allocation stems from some stability game theoretical
features related to the notion of core, both for finite and infinite games. We review these aspects,
by relating them to the properties of the risk measures involved in capital allocation problems. We
also discuss some problems and possible extensions arising when we deal with non-coherent risk
measures
Capital Allocation for risk measures: a numerical and comparative study
In this paper we make a short survey on the problem of Capital Allocation through the use of risk
measures and we apply some of the most popular Capital Allocation methods to a portfolio of risky
positions by using Value at Risk, Conditional Value at Risk and the entropic risk measure. We then
discuss and compare the results found in our numerical example
Capital Allocation rules and acceptance sets
This paper introduces a newapproach to face capital allocation problems from the perspective
of acceptance sets, by defining the family of sub-acceptance sets. We study the relations
between the notions of sub-acceptability and acceptability of a risky position as well as
their impact on the allocation of risk. We define the notion of risk contribution rule and
show how in this context it is interpretable as a tool for assessing the contribution of a subportfolio
to a given portfolio in terms of acceptability without necessarily involving a risk
measure. Furthermore, we investigate under which conditions on a risk contribution rule a
representation of an acceptance set holds in terms of the risk contribution rule itself, thus
extending to this setting the interpretation, classical in risk measures theory, of minimal
amount required to hedge a risky position
Water gender indicators in agriculture: A study of horticultural farmer organizations in Senegal
This paper intends to contribute to the debate on gender equality and water within the Sustainable Development Goals SDGs 5 and 6. Farmers organizations are often considered key stakeholders whose participation should be fostered to achieve a good water governance in agriculture and irrigation programs. Nonetheless, many water management interventions tackle participation as an instrumental and formal process. A common assumption is that granting sufficient space for women in water management will automatically ensure a greater gender empowerment. Nevertheless, often low importance is given to assessing who really actively participates and benefits from water development projects, favoring the technical aspects. This paper addresses the articulation between gender, water management and indicators, using male, female and mixed farmer organizations as touchstones in three regions of Senegal. The authors defines a system of water gender indicators grouped into five sections. The first results show more similarities between mixed and female organizations, while the main gender inequalities are visible in the water technique and economic domains. Thanks to this study, we can see how a gender-based analysis may allow to more deeply understand some more or less “hidden” water governance mechanisms and their related implications in terms of project management and policy making
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