AbstractThis paper puts forward a new and simple method to combine forecasts, which is particularly useful when the forecasts are strongly correlated. It is based on the Mincer Zarnowitz regression, and a subsequent determination using Shapley values of the weights of the forecasts in a new combination. For a stylized case, it is proved that such a Shapley‐value‐based combination improves upon an equal‐weight combination. Simulation experiments and a detailed illustration show the merits of the Shapley‐value‐based forecast combination.