The Shapley decomposition for portfolio risk

Stéphane Mussard and Virginie Terraza

Applied Economics Letters, 2008, vol. 15, issue 9, 713-715

Abstract: 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.

Date: 2008
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Working Paper: The Shapley decomposition for portfolio risk (2006)
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DOI: 10.1080/13504850600748968

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