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The Shapley value of regression portfolios
By viewing portfolio optimization as a cooperative game played by the assets minimizing risk for a given return, investors can compute the exact value each security adds to the common payoff of the game. This is known the Shapley value that imputes the contribution of each asset, by looking at all t...
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| Publicat a: | J Asset Manag |
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| Autor principal: | |
| Format: | Artigo |
| Idioma: | Inglês |
| Publicat: |
Palgrave Macmillan UK
2020
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| Matèries: | |
| Accés en línia: | https://ncbi.nlm.nih.gov/pmc/articles/PMC7371791/ https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1057/s41260-020-00175-0 |
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