基于shapley的风险排名:一些理论上的考虑

Q2 Economics, Econometrics and Finance

International Review of Economics Pub Date : 2023-10-17 DOI:10.1007/s12232-023-00434-7

Tobias Hiller

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引用次数: 0

摘要

在本文中，我们加强了Auer和Hiller所做的分析(Int J Finance economics 24(2): 884-889, 2019;管理决策经济42(4):876-884,2021)。尽管他们的文章使用了几个模拟设置来说明合作博弈论可能有解决低风险难题的潜力，但我们计算了三资产情况下资产之间部分排名修正的条件。因此，我们的报告可以解释为Auer和Hiller的理论对应物(Int J Finance economics 24(2): 884-889, 2019;管理决策经济42(4):876-884,2021)。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Shapley-based risk rankings: some theoretical considerations

Abstract In this note, we enhance the analysis done by Auer and Hiller (Int J Finance Econ 24(2):884–889, 2019; Manag Decis Econ 42(4):876–884, 2021). Whereas their articles uses several simulation settings to illustrate that cooperative game theory may have the potential to solve the low-risk puzzle, we calculate for the three-asset case the conditions for partial ranking corrections between assets. Hence, our note could be interpreted as theoretical counterpart to Auer and Hiller (Int J Finance Econ 24(2):884–889, 2019; Manag Decis Econ 42(4):876–884, 2021).

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来源期刊

International Review of Economics Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

2.80

自引率

0.00%

发文量

期刊介绍： International Review of Economics - Journal of Civil Economy (IREC) covers a broad range of macro- and microeconomic topics, and showcases high-quality empirical, theoretical and policy-oriented contributions. In particular, IREC welcomes papers focused on the analysis of social interactions, wellbeing, welfare and happiness, capabilities, reciprocity, trust, relational goods, formal and informal institutions, law and economics, prizes and incentives, economics and philosophy, economic theology, the history of economic thought, non-profit organizations, and social economy. Civil Economy refers to a 18th-century Southern European tradition, which views the market as a pre-condition for civilization. Today, Civil Economy denotes a special focus on the ‘civil’ and ethical dimensions of economic issues, and on pursuing the common good in the economic domain. Officially cited as: Int Rev Econ