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

DOI10.1142/S0219198923500172zbMATH Open1544.91288MaRDI QIDQ6562706FDOQ6562706

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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