To address the safety and efficiency issues of vehicles at multi-lane merging zones, a cooperative decision-making framework is designed for connected automated vehicles (CAVs) using a coalitional game approach. Firstly, a motion prediction module is established based on the simplified single-track vehicle model for enhancing the accuracy and reliability of the decision-making algorithm. Then, the cost function and constraints of the decision making are designed considering multiple performance indexes, i.e. the safety, comfort and efficiency. Besides, in order to realize human-like and personalized smart mobility, different driving characteristics are considered and embedded in the modeling process. Furthermore, four typical coalition models are defined for CAVS at the scenario of a multi-lane merging zone. Then, the coalitional game approach is formulated with model predictive control (MPC) to deal with decision making of CAVs at the defined scenario. Finally, testings are carried out in two cases considering different driving characteristics to evaluate the performance of the developed approach. The testing results show that the proposed coalitional game based method is able to make reasonable decisions and adapt to different driving characteristics for CAVs at the multi-lane merging zone. It guarantees the safety and efficiency of CAVs at the complex dynamic traffic condition, and simultaneously accommodates the objectives of individual vehicles, demonstrating the feasibility and effectiveness of the proposed approach.