The Shapley decomposition for portfolio riskPreprint OPEN
Stéphane Mussard; Virginie Terraza; (2006)
Subject: Decomposition, Risk, Shapley, Volatility
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.