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Article (Scientific journals)
The shapley decomposition for risk portfolios
Mussard, Stéphane; Terraza, Virginie
2008 • In Applied Economics Letters, 15 (9), p. 713-715
Peer reviewed
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https://hdl.handle.net/10993/12148
DOI
10.1080/13504850600748968
 

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Keywords :
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
Disciplines :
Finance
Identifiers :
UNILU:UL-ARTICLE-2012-268
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)
Language :
English
Title :
The shapley decomposition for risk portfolios
Publication date :
2008
Journal title :
Applied Economics Letters
ISSN :
1350-4851
Publisher :
Routledge
Volume :
15
Issue :
9
Pages :
713-715
Peer reviewed :
Peer reviewed
Available on ORBilu :
since 27 November 2013

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