Measuring risk can be axiomatized by the concept of coherent measures of risk. A risk environment specifies some individual portfolios’ realization vectors and a coherent measure of risk. We consider sharing the risk of the aggregate portfolio by studying transferable utility cooperative games: risk allocation games.
We show that the class of risk allocation games coincides with the class of totally
balanced games. As a limit case the aggregate portfolio can have the same payoff
in all states of nature. We prove that the class of risk allocation games with no
aggregate uncertainty coincides with the class of exact games.
Keywords: Coherent Measures of Risk, Risk Allocation Games, Totally Balanced Games, Exact Games
JEL Classification: C71