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Aspects of exchangeability in the shapley value

Amit, R. K.; Ramachandran, Parthasarathy - In: International game theory review 15 (2013) 4, pp. 1-11

Persistent link: https://www.econbiz.de/10010250242

Monte Carlo simulation of macroeconomic risk with a continuum of agents: the symmetric case

Hammond, Peter J.; Sun, Yeneng - In: Economic Theory 21 (2003) 2, pp. 743-766

Suppose a large economy with individual risk is modeled by a continuum of pairwise exchangeable random variables (i.i.d., in particular). Then the relevant stochastic process is jointly measurable only in degenerate cases. Yet in Monte Carlo simulation, the average of a large finite draw of the...

Persistent link: https://www.econbiz.de/10005753125

ASPECTS OF EXCHANGEABILITY IN THE SHAPLEY VALUE

AMIT, R. K.; RAMACHANDRAN, PARTHASARATHY - In: International Game Theory Review (IGTR) 15 (2013) 04, pp. 1340028-1

. One of the most important concepts of subjective probability is the exchangeability. This paper characterizes the aspects … of exchangeability in the Shapley value. We discuss exchangeability aspects in the Owen's multilinear characterization of … the Shapley value; and, derive the Shapley value using exchangeability. We also link exchangeability to the Shapley …

Persistent link: https://www.econbiz.de/10010711593