Supplementary data for: Weighted Shapley values and allocation of portfolio risk: One approach to solve the low-risk puzzle?

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.