TY - JOUR
T1 - Cooperative Games With General Deviation Measures
AU - Grechuk, Bogdan
AU - Molyboha, Anton
AU - Zabarankin, Michael
PY - 2013/4
Y1 - 2013/4
N2 - Cooperative games with players using different law-invariant deviation measures as numerical representations for their attitudes towards risk in investing to a financial market are formulated and studied. As a central result, it is shown that players (investors) form a coalition (cooperative portfolio) that behaves similar to a single player (investor) with a certain deviation measure. An explicit formula for that deviation measure is obtained. An approach to optimal risk sharing among investors is developed, and a "fair" division of the cooperative portfolio expected gain, belonging to the core of a corresponding cooperative game, is suggested.
AB - Cooperative games with players using different law-invariant deviation measures as numerical representations for their attitudes towards risk in investing to a financial market are formulated and studied. As a central result, it is shown that players (investors) form a coalition (cooperative portfolio) that behaves similar to a single player (investor) with a certain deviation measure. An explicit formula for that deviation measure is obtained. An approach to optimal risk sharing among investors is developed, and a "fair" division of the cooperative portfolio expected gain, belonging to the core of a corresponding cooperative game, is suggested.
KW - Cooperative games
KW - Deviation measures
KW - Portfolio theory
KW - Risk sharing
UR - http://www.scopus.com/inward/record.url?scp=84874730618&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84874730618&partnerID=8YFLogxK
U2 - 10.1111/j.1467-9965.2011.00495.x
DO - 10.1111/j.1467-9965.2011.00495.x
M3 - Article
AN - SCOPUS:84874730618
SN - 0960-1627
VL - 23
SP - 339
EP - 365
JO - Mathematical Finance
JF - Mathematical Finance
IS - 2
ER -