Portfolio performance attribution via Shapley value
Nicholas Moehle, Stephen Boyd and Andrew Ang
| Year of publication: |
2022
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|---|---|
| Authors: | Moehle, Nicholas ; Boyd, Stephen P. ; Ang, Andrew |
| Published in: |
Journal of investment management : JOIM. - Lafayette, Calif., ISSN 1545-9144, ZDB-ID 2495180-8. - Vol. 20.2022, 3, p. 33-52
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| Subject: | Performance benchmarking | one-at-a-time attribution | leave-one-out attribution | sequential attribution | Shapley value | return decomposition | return attribution | Portfolio-Management | Portfolio selection | Shapley-Wert | Performance-Messung | Performance measurement | Kooperatives Spiel | Cooperative game | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013465394