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The Shapley decomposition for portfolio risk


  • Stéphane Mussard

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

  • Virginie Terraza

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


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.

Suggested Citation

  • Stéphane Mussard & Virginie Terraza, 2006. "The Shapley decomposition for portfolio risk," Cahiers de recherche 06-09, Departement d'Economique de l'École de gestion à l'Université de Sherbrooke.
  • Handle: RePEc:shr:wpaper:06-09

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    References listed on IDEAS

    1. Chantreuil, F. & Trannoy, A., 1999. "Inequality Decomposition Values: the Trade-Off Between Marginality and Consistency," Papers 99-24, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
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    Cited by:

    1. Francesco Devicienti, 2010. "Shapley-value decompositions of changes in wage distributions: a note," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 8(1), pages 35-45, March.
    2. repec:ebl:ecbull:v:3:y:2007:i:25:p:1-7 is not listed on IDEAS
    3. Haim Shalit, 2017. "The Shapley Value Decomposition Of Optimal Portfolios," Working Papers 1701, Ben-Gurion University of the Negev, Department of Economics.
    4. 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.

    More about this item


    Decomposition; Risk; Shapley; Volatility;

    JEL classification:

    • 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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