The Shapley decomposition for portfolio risk
The 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.
Volume (Year): 15 (2008)
Issue (Month): 9 ()
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- 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.