24 research outputs found
Stable Allocations of Risk
The measurement and the allocation of risk are fundamental problems of portfolio management. Coherent measures of risk provide an axiomatic approach to the former problem. In an environment given by a coherent measure of risk and the various portfolios' realization vectors, risk allocation games aim at solving the second problem: how to distribute the diversification benefits of the various portfolios? understanding these cooperative games helps us to find stable, efficient, and fair allocations of risk.we show that the class of risk allocation and totally balanced games coincide, hence a stable allocation of risk is always possible. When the aggregate portfolio is riskless, the class of risk allocation games coincides with the class of exact games. As in exact games any subcoalition may be subject to marginalization even in core allocations, our result further emphasizes the responsibility involved in allocating risk
K枚zponti felv茅teli rendszerek. Taktik谩z谩s 茅s stabilit谩s
Egy k枚zponti felv茅teli rendszer feladata a jelentkez艖k 茅s az iskol谩k vagy szakok p谩ros铆t谩sa. Ez a p谩ros铆t谩s t枚bbf茅lek茅ppen is t枚rt茅nhet, de n茅h谩ny alapelv ment茅n a gyakran igen k眉l枚nb枚z艖 felv茅teli rendszerek is le铆rhat贸k. Ilyen alapelvk茅nt fogalmazhat贸 meg, hogy egy p谩ros铆t谩s legyen stabil, Pareto-optim谩lis, vagy hogy legyen mentes
a taktik谩z谩st贸l. J贸 茅s kev茅sb茅 j贸 p谩ros铆t贸 algoritmusokat is ismertet眉nk, 谩ttekintj眉k alapvet艖 tulajdons谩gaikat, illetve kit茅r眉nk olyan jellemz艖kre, amelyek meghat谩rozhatj谩k
egy felv茅teli rendszer elfogadotts谩g谩t. A magyarorsz谩gi felv茅teli rendszereket majd egy k眉l枚n dolgozatban vizsg谩ljuk.
Journal of Economics Literature (JEL) k贸d: C78, D61, D78, I20