Work

New trading risk indexes: application of the shapley value in finance

Year: 2007

Type: article

Abstract: The aim of this paper is to offer new risk indicators that enable one to classify securities of a portfolio according to their risk degrees. These indexes are issued from a new method of the covariance decomposition based on the Shapley Value. The risk indicators are computed via the well-known Gini coefficient, which is viewed as a new risk measure and compared with the traditional measures related with the modern theory of portfolio. These indicators yield suitable information, which could be used by private or institutional investors to trade strategies on market portfolio.

Source: RePEc: Research Papers in Economics

Authors: Virginie Terraza, Stéphane Mussard

Institutions: University of Luxembourg, Consiglio per la ricerca in agricoltura e l’analisi dell’economia agraria

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1859228054

FWCI: 0.464

Cites: 12

Cited by: 6

Related to: 10