Stéphane Mussard () (GREDI, Université de Sherbrooke and GEREM, Université de Perpignan) Virginie Terraza () (CREA, University of Luxembourg, Faculty of Law Economics and Finance)
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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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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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