Cooperative Game Theory of Hierarchies: One Approach to Solving the Low-Risk Puzzle?
In this article, we extend the application of cooperative game theory to the so-called low-risk puzzle. Specifically, we apply concepts that consider hierarchies on the assets in the allocation of portfolio risk. These hierarchies have not previously been considered in portfolio risk allocation usin...
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MDPI AG
2025-04-01
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| Series: | Risks |
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| Online Access: | https://www.mdpi.com/2227-9091/13/5/86 |
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| author | Tobias Hiller |
| author_facet | Tobias Hiller |
| author_sort | Tobias Hiller |
| collection | DOAJ |
| description | In this article, we extend the application of cooperative game theory to the so-called low-risk puzzle. Specifically, we apply concepts that consider hierarchies on the assets in the allocation of portfolio risk. These hierarchies have not previously been considered in portfolio risk allocation using cooperative game theory. We demonstrate our idea through a simulation study. Our results show that considering hierarchies can contribute to solving the low-risk puzzle. Our findings may advance further developments in portfolio theory. |
| format | Article |
| id | doaj-art-158ab3e0d97043d1931cf4c79affdb7f |
| institution | Kabale University |
| issn | 2227-9091 |
| language | English |
| publishDate | 2025-04-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Risks |
| spelling | doaj-art-158ab3e0d97043d1931cf4c79affdb7f2025-08-20T03:48:01ZengMDPI AGRisks2227-90912025-04-011358610.3390/risks13050086Cooperative Game Theory of Hierarchies: One Approach to Solving the Low-Risk Puzzle?Tobias Hiller0Department of Microeconomics, University Leipzig, 04107 Leipzig, GermanyIn this article, we extend the application of cooperative game theory to the so-called low-risk puzzle. Specifically, we apply concepts that consider hierarchies on the assets in the allocation of portfolio risk. These hierarchies have not previously been considered in portfolio risk allocation using cooperative game theory. We demonstrate our idea through a simulation study. Our results show that considering hierarchies can contribute to solving the low-risk puzzle. Our findings may advance further developments in portfolio theory.https://www.mdpi.com/2227-9091/13/5/86low-risk puzzleportfolio riskcooperative game theoryhierarchypermission valueswH values |
| spellingShingle | Tobias Hiller Cooperative Game Theory of Hierarchies: One Approach to Solving the Low-Risk Puzzle? Risks low-risk puzzle portfolio risk cooperative game theory hierarchy permission values wH values |
| title | Cooperative Game Theory of Hierarchies: One Approach to Solving the Low-Risk Puzzle? |
| title_full | Cooperative Game Theory of Hierarchies: One Approach to Solving the Low-Risk Puzzle? |
| title_fullStr | Cooperative Game Theory of Hierarchies: One Approach to Solving the Low-Risk Puzzle? |
| title_full_unstemmed | Cooperative Game Theory of Hierarchies: One Approach to Solving the Low-Risk Puzzle? |
| title_short | Cooperative Game Theory of Hierarchies: One Approach to Solving the Low-Risk Puzzle? |
| title_sort | cooperative game theory of hierarchies one approach to solving the low risk puzzle |
| topic | low-risk puzzle portfolio risk cooperative game theory hierarchy permission values wH values |
| url | https://www.mdpi.com/2227-9091/13/5/86 |
| work_keys_str_mv | AT tobiashiller cooperativegametheoryofhierarchiesoneapproachtosolvingthelowriskpuzzle |