Responsible investing and portfolio selection: a Shapley-CVaR approach
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Publication:6666737
DOI10.1007/S10479-022-05144-XMaRDI QIDQ6666737
Publication date: 20 January 2025
Published in: Annals of Operations Research (Search for Journal in Brave)
Shapley valuefinancial performancesocially responsible investmentsenvironmental scoreCVaR portfolio optimization
Game theory (91Axx) Mathematical economics (91Bxx) Actuarial science and mathematical finance (91Gxx)
Cites Work
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- Variance allocation and Shapley value
- The Shapley value decomposition of optimal portfolios
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- The Egalitarian Shapley value: a generalization based on coalition sizes
- Incorporating environmental and social considerations into the portfolio optimization process
- An Application of the Shapley Value to Fair Division with Money
- A Simple Expression for the Shapley Value in a Special Case
- Risk Attribution Using the Shapley Value: Methodology and Policy Applications
- Credit risk optimization with conditional Value-at-Risk criterion
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