Portfolio Performance Attribution via Shapley Value

Nicholas Moehle, Stephen Boyd and Andrew Ang

Papers from arXiv.org

Abstract: We consider an investment process that includes a number of features, each of which can be active or inactive. Our goal is to attribute or decompose an achieved performance to each of these features, plus a baseline value. There are many ways to do this, which lead to potentially different attributions in any specific case. We argue that a specific attribution method due to Shapley is the preferred method, and discuss methods that can be used to compute this attribution exactly, or when that is not practical, approximately.

Date: 2021-02
New Economics Papers: this item is included in nep-cwa and nep-gth
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Citations: View citations in EconPapers (6)

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