Carregant...
Fitxers
Tipus de document
ArticleVersió
Versió publicadaData de publicació
Llicència de publicació
Si us plau utilitzeu sempre aquest identificador per citar o enllaçar aquest document: https://hdl.handle.net/2445/201989
Haircut Capital Allocation as Solution of a Quadratic Optimization Problem
Títol de la revista
Director/Tutor
ISSN de la revista
Títol del volum
Recurs relacionat
Resum
Abstract The capital allocation framework presents capital allocation principles as solutions to particular optimisation problems and provides a general solution of the quadratic allocation problem via a geometric proof. However, the widely used haircut allocation principle is not reconcilable with that optimisation setting. Our study complements and generalises the unified capital allocation framework. The goal of the study is to contribute in the following two ways. First, we provide an alternative proof of the quadratic allocation problem based on the Lagrange multipliers method to reach the general solution, which complements the geometric proof. This alternative approach to solve the quadratic optimisation problem is, in our opinion, easier to follow and understand by researchers and practitioners. Second, we show that the haircut allocation principle can be accommodated by the optimisation setting with the quadratic optimisation criterion if one of the original conditions is relaxed. Two examples are provided to illustrate the accommodation of this allocation principle.
Matèries
Matèries (anglès)
Citació
Citació
BELLES SAMPERA, Jaume, GUILLÉN, Montserrat, SANTOLINO, Miguel. Haircut Capital Allocation as Solution of a Quadratic Optimization Problem. _Mathematics_. 2023. Vol. 11, núm. 3846. [consulta: 20 de gener de 2026]. ISSN: 2227-7390. [Disponible a: https://hdl.handle.net/2445/201989]