Name
Abstract | ||
|---|---|---|
Motivated by the problem of utility allocation in a portfolio under a Markowitz mean-variance choice paradigm, we propose an allocation criterion for the variance of the sum of n possibly dependent random variables. This criterion, the Shapley value, requires to translate the problem into a cooperative game. The Shapley value has nice properties, but, in general, is computationally demanding. The main result of this paper shows that in our particular case the Shapley value has a very simple form that can be easily computed. The same criterion is used also to allocate the standard deviation of the sum of n random variables and a conjecture about the relation of the values in the two games is formulated. |
Year | DOI | Venue |
|---|---|---|
2016 | 10.1007/s11009-016-9540-5 | Methodology and Computing in Applied Probability |
Keywords | Field | DocType |
Shapley value, Core, Variance game, Covariance matrix, Computational complexity, 91A12, 62J10 | Mathematical optimization,Random variable,Mathematical economics,Shapley value,Portfolio,Covariance matrix,Bondareva–Shapley theorem,Standard deviation,Conjecture,Mathematics,Computational complexity theory | Journal |
Volume | Issue | ISSN |
abs/1606.09424 | 3 | 1573-7713 |
Citations | PageRank | References |
0 | 0.34 | 8 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Riccardo Colini-Baldeschi | 1 | 42 | 9.30 |
| Marco Scarsini | 2 | 164 | 33.96 |
| Stefano Vaccari | 3 | 0 | 0.34 |