A note on χ-values

Hiller, Tobias

doi:10.1007/s12232-011-0125-x

Cited by 7 publications

(2 citation statements)

References 11 publications

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“…For example, dynamic models of portfolio construction — e.g., rebalancing assets weights — could be modeled and analyzed using dynamic/evolutionary cooperative game theory (see Newton, 2018, for an overview and Casajus et al, 2020, for some new insights). Second, the analysis could be extended to other versions of the χ value (Hiller, 2011) like the nucleolus (Schmeidler, 1969), the normalized Banzhaf value (Banzhaf, 1965; van den Brink & van der Laan, 1998), or the τ value (Tijs, 1987). In addition, other efficient concepts in capital market theory for distributing portfolio risk to individual assets like the activity‐based method can be used as a base for an χ version.…”

Section: Research Outlookmentioning

confidence: 99%

Allocation of portfolio risk and outside options

Hiller

2022

Manage Decis Econ

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In this note, we outline the application of coalition structure games to the distribution of portfolio risk across individual assets in a portfolio. In the existing literature, there is no risk measure that takes into account both — the contributions of individual assets to portfolio risk and the contributions to the risk of the stock market as a whole. We show the application by means of a simulation study as an example. In this context, it can be shown that the approach contributes to the solution of the so‐called low‐risk puzzle.

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Section: Research Outlookmentioning

confidence: 99%

Allocation of portfolio risk and outside options

Hiller

2022

Manage Decis Econ

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“…The player who coordinates the other players is honored, if the coordination yields cooperation benefits. This approach is based on Hiller [18]. Section 4 concludes the paper.…”

Section: Sh Whmentioning

confidence: 99%