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 QIDQ6562706

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\(\chi\) valuelow-risk puzzleCS gamesWiese value

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• The link between the Shapley value and the beta factor
• Games with a permission structure -- a survey on generalizations and applications
• Rankings and values for team games
• Technology driven organizational structure of the firm
• Networks and outside options
• Outside options, component efficiency, and stability
• An axiomatization of the \(\tau\)-value
• Allocation rules for hypergraph communication situations
• Cooperative games with coalition structures
• The museum pass game and its value.
• Centrality and power in social networks: A game theoretic approach.
• Evolutionary game theory: a renaissance
• Properties and comparison of risk capital allocation methods
• Asymptotic stability in the Lovász-Shapley replicator dynamic for cooperative games
• Potential, value, and random partitions
• The proportional partitional Shapley value
• Axiomatizations of the normalized Banzhaf value and the Shapley value
• Preservation of risk in capital markets
• How should the cost of joint risk capital be allocated for performance measurement?
• Spectrum value for coalitional games
• Vertical wage differences in hierarchically structured firms
• OUTSIDE OPTIONS IN PROBABILISTIC COALITION SITUATIONS
• The Cooperative Game Theory of Networks and Hierarchies
• MEASURING THE POWER OF PARTIES WITHIN GOVERNMENT COALITIONS
• Game Theory and Cost Allocation Problems
• The Shapley Value as Aircraft Landing Fees–Revisited
• A Simple Expression for the Shapley Value in a Special Case
• Graphs and Cooperation in Games
• Mathematical Properties of the Banzhaf Power Index
• The Banzhaf value and communication situations
• The Nucleolus of a Characteristic Function Game
• Training, abilities and the structure of teams
• Varying weights of marginal contributions: one approach to solving the low-risk puzzle?

This page was built for publication: Allocation of portfolio risk and outside options: which is the best coalition structure value to solve the low-risk anomaly?

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6562706)