Reference : The shapley decomposition for risk portfolios
Scientific journals : Article
Business & economic sciences : Finance
http://hdl.handle.net/10993/12148
The shapley decomposition for risk portfolios
English
Mussard, Stéphane [Université Montpellier, France]
Terraza, Virginie mailto [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Center for Research in Economic Analysis (CREA) >]
2008
Applied Economics Letters
Routledge
15
9
713-715
Yes (verified by ORBilu)
International
1350-4851
[en] Decomposition ; Risk ; Shapley
[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
Researchers ; Professionals
http://hdl.handle.net/10993/12148

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