The Shapley decomposition for portfolio risk
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References listed on IDEAS
- 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.
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- 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.
- 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.
- repec:ebl:ecbull:v:3:y:2007:i:25:p:1-7 is not listed on IDEAS
- Haim Shalit, 2017. "The Shapley Value Decomposition Of Optimal Portfolios," Working Papers 1701, Ben-Gurion University of the Negev, Department of Economics.
- 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
KeywordsDecomposition; Risk; Shapley; Volatility;
- 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
NEP fieldsThis 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)
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