Shapley-based risk rankings: some theoretical considerations

Tobias Hiller ()
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Tobias Hiller: University Leipzig

International Review of Economics, 2024, vol. 71, issue 1, No 4, 67-74

Abstract: Abstract In this note, we enhance the analysis done by Auer and Hiller (Int J Finance Econ 24(2):884–889, 2019; Manag Decis Econ 42(4):876–884, 2021). Whereas their articles uses several simulation settings to illustrate that cooperative game theory may have the potential to solve the low-risk puzzle, we calculate for the three-asset case the conditions for partial ranking corrections between assets. Hence, our note could be interpreted as theoretical counterpart to Auer and Hiller (Int J Finance Econ 24(2):884–889, 2019; Manag Decis Econ 42(4):876–884, 2021).

Keywords: Low-risk puzzle; Cooperative game theory; Shapley value (search for similar items in EconPapers)
JEL-codes: C71 G10 G11 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s12232-023-00434-7

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