The Shapley value decomposition of optimal portfolios

DOI10.1007/s10436-020-00380-2zbMath1467.91166OpenAlexW3123659712MaRDI QIDQ2036001

Haim Shalit

Publication date: 28 June 2021

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: http://in.bgu.ac.il/en/humsos/Econ/Workingpapers/1701.pdf

zbMATH Keywords

efficient frontiersystematic riskasset allocationmean-variance portfoliosmean-Gini portfolios

Mathematics Subject Classification ID

Cooperative games (91A12) Applications of game theory (91A80) Portfolio theory (91G10)

Cites Work

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• The link between the Shapley value and the beta factor
• Using OLS to test for normality
• On the proper bounds of the Gini correlation
• Variance allocation and Shapley value
• Horizontal cooperation in a multimodal public transport system: the profit allocation problem
• Inequality Decomposition by Factor Components
• Risk Attribution Using the Shapley Value: Methodology and Policy Applications

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