相干風險資本的分配【外文翻譯】

1、外文文獻翻譯一、外文原文原文：原文：CoherentAllocationofRiskCapitalTheAllocationProblemTheallocationproblemstemsfromthediversificationeffectobservedinriskmeasurementsoffinancialptfolios:thesumofthe“risks”ofmanyptfoliosislargerthanthe“risk

2、”ofthesumoftheptfolios.Theallocationproblemistoapptionthisdiversificationadvantagetotheptfoliosinafairmanneryieldingfeachptfolioariskappraisalthataccountsfdiversification.Ourapproachisaxiomaticinthesensethatwefirstarguef

3、thenecessarypropertiesofanallocationprinciplethenconsiderprinciplesthatfulfilltheproperties.Imptantresultsfromtheareaofgametheyfindadirectapplication.OurmainresultisthattheAumannvalueisbothacoherentpracticalapproachtofin

4、ancialriskallocation.IntroductionThethemeofpaperisthesharingofcostsbetweentheconstituentsofafirm.Wecallthissharing“allocation”asitisassumedthatahigherauthityexistswithinthefirmwhichhasaninterestinunilaterallydividingthef

5、irm’scostsbetweentheconstituents.Wewillrefertotheconstituentsasptfoliosbutbusinessunitscouldjustaswellbeunderstood.Asaninsuranceagainsttheuncertaintyofthewth(equivalentlytheprofits)oftheptfoliosthefirmcouldwellwouldoften

6、beregulatedtoholdanamountofrisklessinvestments.Wewillcallthisbuffertheriskcapitalofthefirm.Fromafinancialperspectiveholdinganamountofmoneydmantinextremelylowrisklowreturnmoneyinstrumentsisseenasaburden.Itistherefenatural

7、tolookfafairallocationofthatburdenbetweentheconstituentsespeciallywhentheallocationprovidesabasisfperfmancecomparisonsoftheconstituentsbetweenRiskMeasureRiskCapitalInthispaperwefollowArtznerDelbaenEberHeathinrelatingther

8、iskofafirmtotheuncertaintyofitsfuturewth.Thedangerinherenttotheideaofriskisthatthefirm’swthreachsuchalowwthatapointinthefuturethatitmuststopitsactivities.RiskisthendefinedasaromvariableXrepresentingafirm’swthataspecified

9、pointofthefuture.Ariskmeasureρquantifiesthelevelofrisk.Specificallyitisamappingfromasetofromvariables(risks)totherealnumbers:ρ(X)istheamountofaassets(e.g.cashdollars)whichaddedtothefirm’sassetsensuresthatitsfuturewthbeac

10、ceptabletotheregulatthechiefriskofficerothers.(Fadiscussionofacceptablewthsee)Clearlytheheftiertherequiredsafetyistheriskierthefirmisperceived.Wecallρ(X)theriskcapitalofthefirm.Theriskcapitalallocationproblemistoallocate

11、theamountofriskρ(X)betweentheptfoliosofthefirm.CoherenceoftheAllocationPrincipleAnallocationprincipleisasolutiontotheriskcapitalallocationproblem.Wesuggestinthissectionasetofaxiomswhichwearguearenecessarypropertiesofa“re

12、asonable”allocationprinciple.Wewillcallcoherenceanallocationprinciplethatsatisfiesthesetofaxioms.Thepropertiescanbejustifiedasfollows.The“noundercut”propertyensuresthatnoptfoliocanundercuttheproposedallocation:anundercut

13、occurswhenaptfolio’sallocationishigherthantheamountofriskcapitalitwouldfaceasanentityseparatefromthefirm.Givensubadditivitytherationaleissimple.Uponaptfoliojoiningthefirm(anysubsetthereof)thetotalriskcapitalincreasesbyno

14、methantheptfolio’sownriskcapital:inallfairnessthatptfoliocannotjustifiablybeallocatedmeriskcapitalthanitcanpossiblyhavebroughttothefirm.Thepropertyalsoensuresthatcoalitionsofptfolioscannotundercutwiththesamerationale.The

15、symmetrypropertyensuresthataptfolio’sallocationdependsonlyonitscontributiontoriskwithinthefirmnothingelse.Accdingtotherisklessallocationaxiomarisklessptfolioshouldbeallocatedexactlyitsriskmeasurewhichincidentallywillbene