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Excess based allocation of risk capital

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Multiagent cooperative search for portfolio selection

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Cooperative game with nondeterministic returns

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Fair risk allocation in illiquid markets

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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