Suitability of Capital Allocations for Performance Measurement

• Main Authors: Kromer, Eduard, Overbeck, Ludger
• Format: Journal Article
• Language: English
• Published: 23.01.2013
• Subjects: Quantitative Finance - Portfolio Management; Quantitative Finance - Risk Management

Capital allocation principles are used in various contexts in which a risk capital or a cost of an aggregate position has to be allocated among its constituent parts. We study capital allocation principles in a performance measurement framework. We introduce the notation of suitability of allocation...