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Shapley-based risk rankings: some theoretical considerations

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  • Tobias Hiller

    (University Leipzig)

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).

Suggested Citation

  • Tobias Hiller, 2024. "Shapley-based risk rankings: some theoretical considerations," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 71(1), pages 67-74, March.
    • Handle: RePEc:spr:inrvec:v:71:y:2024:i:1:d:10.1007_s12232-023-00434-7
    DOI: 10.1007/s12232-023-00434-7
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    More about this item

    Keywords

    Low-risk puzzle; Cooperative game theory; Shapley value;
    All these keywords.

    JEL classification:

    • C71 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Cooperative Games
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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