Shapley Risk Decomposition of Portfolio Risk

Versione 1.0.0.0 (3,95 KB) da Hakan
Calculates the percentage contribution to portfolio volatility of each investment.
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Aggiornato 11 feb 2013

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Given a covariance matrix and a set of weights, this function returns the Shapley percentange contribution to portfolio volatility of a set of weights. The intuition behind this decomposition can be found at
http://en.wikipedia.org/wiki/Shapley_value

Cita come

Hakan (2025). Shapley Risk Decomposition of Portfolio Risk (https://it.mathworks.com/matlabcentral/fileexchange/40236-shapley-risk-decomposition-of-portfolio-risk), MATLAB Central File Exchange. Recuperato .

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Creato con R2011b
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Versione Pubblicato Note della release
1.0.0.0