The Shapley decomposition for portfolio risk
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.
|Date of creation:||2006|
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- 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.
- 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..