Allocation of Portfolio Risk and Outside Options: Which is the Best Coalition Structure Value to Solve the Low-Risk Anomaly?

被引:1
|
作者
Hiller, Tobias [1 ]
机构
[1] Univ Leipzig, Dept Microecon, Leipzig, Germany
关键词
Low-risk puzzle; portfolio risk; cooperative game theory; CS games; chi value; proportional value; Wiese value; AIRCRAFT LANDING FEES; GAME-THEORY; SHAPLEY VALUE; BANZHAF VALUE; VOLATILITY; COST; PERFORMANCE; NETWORKS; TEAMS; POWER;
D O I
10.1142/S0219198923500172
中图分类号
O1 [数学];
学科分类号
0701 ; 070101 ;
摘要
In this paper, we enhance the application of coalition structure (CS) games to the distribution of portfolio risk across individual assets in a portfolio. In a recent paper, CS games were applied for the first time as a risk measure that takes into account the contributions of individual assets to portfolio risk and contributions to the risk of the stock market as a whole. We enhance this approach by using five values for CS games in a simulation study. In this simulation, it can be shown that using CS games has an even higher potential to solve the so-called low-risk puzzle than shown in previous literature.
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页数:13
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