Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/312796 
Authors: 
Year of Publication: 
2023
Citation: 
[Journal:] International Review of Economics [ISSN:] 1863-4613 [Volume:] 71 [Issue:] 1 [Publisher:] Springer [Place:] Berlin, Heidelberg [Year:] 2023 [Pages:] 67-74
Publisher: 
Springer, Berlin, Heidelberg
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).
Subjects: 
Low-risk puzzle
Cooperative game theory
Shapley value
JEL: 
C71
G10
G11
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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