Allocation of portfolio risk and outside options: which is the best coalition structure value to solve the low-risk anomaly?

DOI10.1142/S0219198923500172MaRDI QIDQ6562706zbMATH OpenFDO

Authors Tobias Hiller

Publication date 27 June 2024

Published in International Game Theory Review (Search for Journal in Brave)

zbMATH Keywords

cooperative game theoryportfolio riskproportional value\(\chi\) valueCS gameslow-risk puzzleWiese value

Mathematics Subject Classification ID

Cooperative games (91A12) Portfolio theory (91G10)

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• The Nucleolus of a Characteristic Function Game
• The Shapley Value as Aircraft Landing Fees–Revisited
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• Varying weights of marginal contributions: one approach to solving the low-risk puzzle?
• Vertical wage differences in hierarchically structured firms

Cited in

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• Varying weights of marginal contributions: one approach to solving the low-risk puzzle?

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