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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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2025-04-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-9091/13/5/86 |
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