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 por...

Operation risk (OR) has affected sustainable development of urban rail transit (URT) public–private partnership (PPP) projects in China. Balanced distribution operational risks among stakeholders (the public, government, and private companies) involved URT PPP can maximize overall profit. Quantitative analysis allocation project is the key to achieve balance. Few existing studies have quantitat...

This paper examines the impact of government policy on the allocation of aggregate risks in a stochastic OG model with production. The market allocation of risk depends significantly on the young generation’s willingness to substitute intertemporally and on government policy. Safe government debt shifts productivity risk from old to young while wageindexed social security is essentially neutral...

OBJECTIVE To develop a resource allocation model to optimize health departments' Centers for Disease Control and Prevention (CDC)-funded HIV prevention budgets to prevent the most new cases of HIV infection and to evaluate the model's implementation in 4 health departments. DESIGN, SETTINGS, AND PARTICIPANTS We developed a linear programming model combined with a Bernoulli process model that ...

Both the increasing private participation in public projects and the critical importance of appropriate risk allocation to the success of Public-private partnership (PPP) projects justify specific research on how to establish effective risk allocation strategies in PPP projects. Partner’s risk management capability is currently the main concern to risk allocation in PPP projects. Following the ...

We propose a framework with endogenous allocation of land between agricultural production, sustainable forest management, and unsustainable forest exploitation in the form of illegal logging to explore deforestation and agricultural and timber supplies when property rights are insecure. Uncertainty over property rights arises through risk of confiscation on sustainably-managed forest land, and ...

In this paper we survey some recent developments on risk measures for portfolio vectors and on the allocation of risk problem. The main purpose to study risk measures for portfolio vectors X = (X1, . . . , Xd) is to measure not only the risk of the marginals separately but to measure the joint risk of X caused by the variation of the components and their possible dependence. Thus an important p...