The shapley decomposition for risk portfolios

Reference : The shapley decomposition for risk portfolios


	Document type :	Scientific journals : Article
	Discipline(s) :	Business & economic sciences : Finance
	To cite this reference:	http://hdl.handle.net/10993/12148

Title :	The shapley decomposition for risk portfolios
Language :	English
Author, co-author :	Mussard, Stéphane [Université Montpellier, France]
	Terraza, Virginie [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Center for Research in Economic Analysis (CREA) >]
Publication date :	2008
Journal title :	Applied Economics Letters
Publisher :	Routledge
Volume :	15
Issue/season :	9
Pages :	713-715
Peer reviewed :	Yes (verified by ORBi^lu)
Audience :	International
ISSN :	1350-4851
Keywords :	[en] Decomposition ; Risk ; Shapley
Abstract :	[en] 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
Target :	Researchers ; Professionals
Permalink :	http://hdl.handle.net/10993/12148

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