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Excess based allocation of risk capital
Gulick, Gerwald van; De Waegenaere, Anja; Norde, Henk - 2010
Persistent link: https://www.econbiz.de/10008748335
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Multi-agent investment in incomplete markets
Xia, Jianming - In: Finance and stochastics 8 (2004) 2, pp. 241-259
Persistent link: https://www.econbiz.de/10002012585
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Multiagent cooperative search for portfolio selection
Parkes, David C.; Huberman, Bernardo A. - In: Games and economic behavior 35 (2001) 1/2, pp. 124-165
Persistent link: https://www.econbiz.de/10001583444
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Cooperative game with nondeterministic returns
Yang, Jian; Li, Jianbin - In: Journal of mathematical economics 88 (2020), pp. 123-140
Persistent link: https://www.econbiz.de/10012589932
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Fair risk allocation in illiquid markets
Csóka, Péter - In: Finance research letters 21 (2017), pp. 228-234
Persistent link: https://www.econbiz.de/10011807792
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Weighted Shapley Values of Efficient Portfolios
Shalit, Haim - 2022
Shapley value theory, which originally emerged from cooperative game theory, was established for the purpose of … cooperative games when players symmetry cannot be justified. I first present the weighted Shapley value theory and apply the model …
Persistent link: https://www.econbiz.de/10013403613
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Weighted Shapley values of efficient portfolios
Shalit, Haim - 2021
Persistent link: https://www.econbiz.de/10014321396
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Portfolio performance attribution via Shapley value
Moehle, Nicholas; Boyd, Stephen P.; Ang, Andrew - In: Journal of investment management : JOIM 20 (2022) 3, pp. 33-52
Persistent link: https://www.econbiz.de/10013465394
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Bargaining for over-the-counter risk redistributions : the case of longevity risk
Boonen, Tim; De Waegenaere, Anja; Norde, Henk - 2012
Persistent link: https://www.econbiz.de/10009676137
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Bargaining for Over-the-Counter Risk Redistributions : The Case of Longevity Risk
Boonen, Tim J. - 2017
Existing literature regarding the natural hedge potential that arises from combining liabilities with different sensitivities focuses on the optimal liability mix, but does not address the question whether and how changes in the liability mix can be obtained. In the absence of a well-functioning...
Persistent link: https://www.econbiz.de/10012974804