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The Shapley decomposition for portfolio risk

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Author Info

  • Stéphane Mussard

    ()
    (GREDI, Université de Sherbrooke and GEREM, Université de Perpignan)

  • Virginie Terraza

    ()
    (CREA, University of Luxembourg, Faculty of Law Economics and Finance)

Abstract

The aim of this paper is to provide an application of the Shapley Value to decompose financial portfolio risk. Decomposing the sample covariance risk measure yields relative measures, which enable securities of a portfolio to be classified according to risk scales.

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File URL: http://gredi.recherche.usherbrooke.ca/wpapers/GREDI-0609.pdf
File Function: First version, 2006
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Bibliographic Info

Paper provided by Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke in its series Cahiers de recherche with number 06-09.

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Length: 6 pages
Date of creation: 2006
Date of revision:
Handle: RePEc:shr:wpaper:06-09

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Keywords: Decomposition; Risk; Shapley; Volatility;

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References

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  1. F. Chantreuil & A. Trannoy, 1999. "Inequality decomposition values : the trade-off between marginality and consistency," THEMA Working Papers 99-24, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
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Cited by:
  1. repec:ebl:ecbull:v:3:y:2007:i:25:p:1-7 is not listed on IDEAS
  2. Francesco Devicienti, 2008. "Shapley-Value Decompositions of Changes in Wage Distributions: A Note," LABORatorio R. Revelli Working Papers Series 80, LABORatorio R. Revelli, Centre for Employment Studies.
  3. virginie terraza & stephane mussard, 2007. "New trading risk indexes: application of the shapley value in finance," Economics Bulletin, AccessEcon, vol. 3(25), pages 1-7.

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