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Assessment of the cumulative effect of correlated exposures is an open methodological issue in environmental epidemiology. Most previous studies have applied regression models with interaction terms or dimension reduction methods. The combined effect of pollutants has been also evaluated through the use of exposure scores that incorporate weights based on the strength of the component-specific associations with health outcomes.We compared three approaches addressing multi-pollutant exposures in epidemiological models: main effects models, the adaptive least absolute shrinkage and selection operator (LASSO) and a weighted exposure score. We assessed the performance of the methods by simulations under various scenarios for the pollutants’ correlations. We further applied these methods to time series data from Athens, Greece in 2007–12 to investigate the combined effect of short-term exposure to six regulated pollutants on all-cause and respiratory mortality.The exposure score provided the least biased estimate under all correlation scenarios for both mortality outcomes. The adaptive LASSO performed well in the case of low and medium correlation between exposures while the main effect model resulted in severe bias. In the real data application, the cumulative effect estimate was similar between approaches for all-cause mortality ranging from 0.7% increase per interquartile range (IQR) (score) to 1.1% (main effects), while for respiratory mortality conclusions were contradictive and ranged from − 0.6% (adaptive LASSO) to 2.8% (score).The use of a weighted exposure score to address cumulative effects of correlated metrics may perform well under different exposure correlation and variability in the health outcomes.Correlated exposures’ cumulative effect is a challenging methodological issue.Simulations indicated the use of exposure score as the least biased approach.The main effects approach presented the poorest performance.The adaptive LASSO performed well when correlation was low or moderate.