The Shapley decomposition for portfolio risk

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Stéphane Mussard; Virginie Terraza;
  • Subject: Decomposition, Risk, Shapley, Volatility
    • jel: jel:D31 | jel:D63 | jel:G11 | jel:C3

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.
  • References (6)

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