The Shapley decomposition for portfolio risk
AbstractThe aim of this article is to provide an application of the Shapley value to decompose financial portfolio risk. Decomposing the sample covariance risk measure, gives us relative measures, which can be, classified securities of a portfolio according to risk scales.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 15 (2008)
Issue (Month): 9 ()
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Other versions of this item:
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- D31 - Microeconomics - - Distribution - - - Personal Income and Wealth Distribution
- D63 - Microeconomics - - Welfare Economics - - - Equity, Justice, Inequality, and Other Normative Criteria and Measurement
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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