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In this paper, we study capital allocation for dynamic risk measures, with anaxiomatic approach but also by exploiting the relation between risk measuresand BSDEs. Although there is a wide literature on capital allocation rules in astatic setting and on dynamic risk measures, only a few recent papers oncapital allocation work in a dynamic setting and, moreover, those papers mainlyfocus on the gradient approach. To fill this gap, we then discuss newperspectives to the capital allocation problem going beyond those alreadyexisting in the literature. In particular, we introduce and investigate ageneral axiomatic approach to dynamic capital allocations as well as anapproach suitable for risk measures induced by g-expectations under weakerassumptions than Gateaux differentiability.

Dynamic capital allocation rules via BSDEs: an axiomatic approach