References of "Mussard, Stéphane"
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See detailThe shapley decomposition for risk portfolios
Mussard, Stéphane; Terraza, Virginie UL

in Applied Economics Letters (2008), 15(9), 713-715

The aim of this paper is to propose the Shapley Value to decompose financial risk portfolios. Decomposing the sample covariance risk measure, gives us relative measures, which can be, classified ... [more ▼]

The aim of this paper is to propose the Shapley Value to decompose financial risk portfolios. Decomposing the sample covariance risk measure, gives us relative measures, which can be, classified securities of a portfolio according to a risk scale [less ▲]

Detailed reference viewed: 51 (0 UL)
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See detailNew trading risk indexes: application of the shapley value in finance
Terraza, Virginie UL; Mussard, Stéphane

in Economics Bulletin (2007), 3(25), 1-7

The aim of this paper is to offer new risk indicators that enable one to classify securities of a portfolio according to their risk degrees. These indexes are issued from a new method of the covariance ... [more ▼]

The aim of this paper is to offer new risk indicators that enable one to classify securities of a portfolio according to their risk degrees. These indexes are issued from a new method of the covariance decomposition based on the Shapley Value. The risk indicators are computed via the well-known Gini coefficient, which is viewed as a new risk measure and compared with the traditional measures related with the modern theory of portfolio. These indicators yield suitable information, which could be used by private or institutional investors to trade strategies on market portfolio. [less ▲]

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