Optimal capital and risk allocations for law- and cash-invariant convex functions
解决了Lp空间上非单调、法律不变凸风险度量的最优资本与风险分配的存在性与刻画问题，证明可通过聚合风险的递增Lipschitz连续函数合同实现。
In this paper we provide the complete solution to the existence and characterization problem of optimal capital and risk allocations for not necessarily monotone, law-invariant convex risk measures on the model space Lp, for any p ε [1;â]. Our main result says that the capital and risk allocation problem always admits a solution via contracts whose payoffs are defined as increasing Lipschitz continuous functions of the aggregate risk.