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1、外文文献翻译一、外文原文原文:CoherentAllocationofRiskCapitalTheAllocationProblemTheallocationproblemstemsfromthediversificationeffectobservedinriskmeasurementsoffinancialportfolios:thesumofthe“risks”ofmanyportfoliosislargerthanthe“risk”ofthesumoftheportfolios.Theallocationproblem
2、istoapportionthisdiversificationadvantagetotheportfoliosinafairmanner,yielding,foreachportfolio,ariskappraisalthataccountsfordiversification.Ourapproachisaxiomatic,inthesensethatwefirstargueforthenecessarypropertiesofanallocationprinciple,andthenconsiderprinciplesth
3、atfulfilltheproperties.Importantresultsfromtheareaofgametheoryfindadirectapplication.OurmainresultisthattheAumannvalueisbothacoherentandpracticalapproachtofinancialriskallocation.IntroductionThethemeofpaperisthesharingofcostsbetweentheconstituentsofafirm.Wecallthiss
4、haring“allocation”,asitisassumedthatahigherauthorityexistswithinthefirm,whichhasaninterestinunilaterallydividingthefirm’scostsbetweentheconstituents.Wewillrefertotheconstituentsasportfolios,butbusinessunitscouldjustaswellbeunderstood.Asaninsuranceagainsttheuncertain
5、tyofthenetworth(orequivalently,theprofits)oftheportfolios,thefirmcouldwell,andwouldoftenberegulatedto,holdanamountofrisklessinvestments.Wewillcallthisbuffer,theriskcapitalofthefirm.Fromafinancialperspective,holdinganamountofmoneydormant,inextremelylowrisk,lowreturnm
6、oneyinstruments,isseenasaburden.Itisthereforenaturaltolookforafairallocationofthatburdenbetweentheconstituents,especiallywhentheallocationprovidesabasisforperformancecomparisonsoftheconstituentsbetweenthemselves(forexampleinaRORACapproach).Theproblemofallocationisin
7、terestingandnon-trivial,becausethesumoftheriskcapitalsofeachconstituent,isusuallylargerthantheriskcapitalofthefirmtakenasawhole.Thatis,thereisadeclineintotalcoststobeexpectedbypoolingtheactivitiesofthefirm,andthisadvantageneedstobesharedfairlybetweentheconstituents.
8、Westressfairness,asallconstituentsarefromthesamefirm,andnoneshouldreceivepreferentialtreatmentforthepurposeofthisallocationexercise.Inthat