Allocation of portfolio risk and outside options

Tobias Hiller

Managerial and Decision Economics, 2022, vol. 43, issue 7, 2845-2848

Abstract: In this note, we outline the application of coalition structure games to the distribution of portfolio risk across individual assets in a portfolio. In the existing literature, there is no risk measure that takes into account both — the contributions of individual assets to portfolio risk and the contributions to the risk of the stock market as a whole. We show the application by means of a simulation study as an example. In this context, it can be shown that the approach contributes to the solution of the so‐called low‐risk puzzle.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:wly:mgtdec:v:43:y:2022:i:7:p:2845-2848

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