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The Shapley decomposition for portfolio risk

Stéphane Mussard and Virginie Terraza (virginie.terraza@cu.lu)
Additional contact information
Virginie Terraza: CREA, University of Luxembourg, Faculty of Law Economics and Finance

Cahiers de recherche from Departement d'économique de l'École de gestion à l'Université de Sherbrooke

Abstract: 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.

Keywords: Decomposition; Risk; Shapley; Volatility (search for similar items in EconPapers)
JEL-codes: C3 D31 D63 G11 (search for similar items in EconPapers)
Pages: 6 pages
Date: 2006
New Economics Papers: this item is included in nep-fin, nep-fmk and nep-rmg
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Citations: View citations in EconPapers (4)

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http://gredi.recherche.usherbrooke.ca/wpapers/GREDI-0609.pdf First version, 2006 (application/pdf)

Related works:
Journal Article: The Shapley decomposition for portfolio risk (2008) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:shr:wpaper:06-09

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