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Weighted Shapley Values of Efficient Portfolios

Shalit, Haim - 2022

Shapley value theory, which originally emerged from cooperative game theory, was established for the purpose of … cooperative games when players symmetry cannot be justified. I first present the weighted Shapley value theory and apply the model …

Persistent link: https://www.econbiz.de/10013403613

Weighted Shapley values of efficient portfolios

Shalit, Haim - 2021

Persistent link: https://www.econbiz.de/10014321396

Portfolio performance attribution via Shapley value

Moehle, Nicholas; Boyd, Stephen P.; Ang, Andrew - In: Journal of investment management : JOIM 20 (2022) 3, pp. 33-52

Persistent link: https://www.econbiz.de/10013465394

Allocation of risk capital in a cost cooperative game induced by a modified expected shortfall

Bernardi, Mauro; Cerqueti, Roy; Palestini, Arsen - In: Journal of the Operational Research Society 72 (2021) 3, pp. 628-641

Persistent link: https://www.econbiz.de/10012500976

The Shapley decomposition for portfolio risk

Mussard, Stéphane; Terraza, Virginie - In: Applied economics letters 15 (2008) 7/9, pp. 713-715

Persistent link: https://www.econbiz.de/10003741652

The Shapley value of regression portfolios

Shalit, Haim - In: The journal of asset management 21 (2020) 6, pp. 506-512

Persistent link: https://www.econbiz.de/10012298719

Excess based allocation of risk capital

Gulick, Gerwald van; De Waegenaere, Anja; Norde, Henk - 2010

Persistent link: https://www.econbiz.de/10008748335

Multi-agent investment in incomplete markets

Xia, Jianming - In: Finance and stochastics 8 (2004) 2, pp. 241-259

Persistent link: https://www.econbiz.de/10002012585

Multiagent cooperative search for portfolio selection

Parkes, David C.; Huberman, Bernardo A. - In: Games and economic behavior 35 (2001) 1/2, pp. 124-165

Persistent link: https://www.econbiz.de/10001583444

Cooperative game with nondeterministic returns

Yang, Jian; Li, Jianbin - In: Journal of mathematical economics 88 (2020), pp. 123-140

Persistent link: https://www.econbiz.de/10012589932

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