  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 allocations
for performance measurement and show under different assumptions on the
involved reward and risk measures that there exist suitable allocation methods.
The existence of certain suitable allocation principles generally is given
under rather strict assumptions on the underlying risk measure. Therefore we
show, with a reformulated definition of suitability and in a slightly modified
setting, that there is a known suitable allocation principle that does not
require any properties of the underlying risk measure. Additionally we extend a
previous characterization result from the literature from a mean-risk to a
reward-risk setting. Formulations of this theory are also possible in a game
theoretic setting.
