The Shapley decomposition for portfolio risk
AbstractThe 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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Bibliographic InfoPaper 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.
Length: 6 pages
Date of creation: 2006
Date of revision:
Decomposition; Risk; Shapley; Volatility;
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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-03-05 (All new papers)
- NEP-FIN-2006-03-05 (Finance)
- NEP-FMK-2006-03-05 (Financial Markets)
- NEP-RMG-2006-03-05 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Chantreuil, F. & Trannoy, A., 1999.
"Inequality Decomposition Values: the Trade-Off Between Marginality and Consistency,"
99-24, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
- 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.
- 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.
- Francesco Devicienti, 2010. "Shapley-value decompositions of changes in wage distributions: a note," Journal of Economic Inequality, Springer, vol. 8(1), pages 35-45, March.
- 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.
- repec:ebl:ecbull:v:3:y:2007:i:25:p:1-7 is not listed on IDEAS
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