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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

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

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

Excess based allocation of risk capital

Gulick, Gerwald van; De Waegenaere, Anja; Norde, Henk - 2010

Persistent link: https://www.econbiz.de/10008748335

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

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

Weighted Shapley values of efficient portfolios

Shalit, Haim - 2021

Persistent link: https://www.econbiz.de/10014321396

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

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

Allocation of portfolio risk and outside options : which is the best coalition structure value to solve the low-risk anomaly?

Hiller, Tobias - In: International game theory review : IGTR 26 (2024) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10014490298

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