Supplementary data for: Weighted Shapley values and allocation of portfolio risk: One approach to solve the low-risk puzzle?
Documentation of the data | See "Simulation Settings" | |
References to related material | Weighted Shapley values and allocation of portfolio risk: One approach to solve the low-risk puzzle? | |
Description of the data | Simulation study, We analyze three-asset scenario with low-risk puzzle on the set of assets. We simulate 100,000 times. For different level structures, we calculate the weighted Shapley value (Kalai / Samet), the Haeringer weighted value and the proportional Shapley value. We identify cases with rank order corrections with respect to asset variance. See also "Simulation Settings" | |
Type of the data | Dataset | |
Total size of the dataset | 1873542448 | |
Author | Hiller, Tobias | |
Upload date | 2025-11-05T16:18:07Z | |
Publication date | 2025-11-05T16:18:07Z | |
Data of data creation | 2024-07-24 | |
Publication date | 2025-11-05 | |
Abstract of the dataset | The data set contains data for the article “Weighted Shapley values and allocation of portfolio risk: One approach to solve the low-risk puzzle?”. This includes a description of the simulation settings, the Excel macros for calculating the results in the case of equal shares and random asset shares, and the 100,000 simulation results for both cases in Excel. Abstract of the paper: In this article, we extend the application of cooperative game theory to solve the so-called low-risk puzzle. Specifically, we apply concepts that consider asset weights in the allocation of portfolio risk. These weights can take into account various asset characteristics (e.g., image, popularity of an asset, corporate social responsibility, innovative strength) that have not been previously considered in portfolio risk allocation using cooperative game theory. We demonstrate the application through a simulation study. Our results show that considering assets weights could deliver added value when solving the low-risk puzzle. | |
Public reference to this page | https://opara.zih.tu-dresden.de/handle/123456789/1762 | |
Public reference to this page | https://doi.org/10.25532/OPARA-980 | |
Publisher | Universität Leipzig | |
Licence | Attribution-NonCommercial-NoDerivatives 4.0 International | en |
URI of the licence text | http://creativecommons.org/licenses/by-nc-nd/4.0/ | |
Specification of the discipline(s) | 1::12::112 | |
Title of the dataset | Supplementary data for: Weighted Shapley values and allocation of portfolio risk: One approach to solve the low-risk puzzle? | |
Software | Excel | |
Project abstract | The dataset belongs to the article “Weighted Shapley values and allocation of portfolio risk: One approach to solve the low-risk puzzle?”. It is part of a research project investigating whether cooperative game theory can solve the so-called low-risk puzzle. In the data set, asset weights are included as a structural feature in the calculation of asset payoffs. | |
Project title | Weighted Shapley values and allocation of portfolio risk: One approach to solve the low-risk puzzle? |
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