About: The Shapley value of regression portfolios

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An Entity of Type : schema:ScholarlyArticle, within Data Space : covidontheweb.inria.fr associated with source document(s)

Attributes	Values
type	Academic Article research paper schema:ScholarlyArticle
isDefinedBy	Covid-on-the-Web dataset
has title	The Shapley value of regression portfolios
Creator	Shalit, Haim
Source	PMC
abstract	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 the possible portfolios in which securities might participate. In this paper I use the Shapley value to decompose the risk and return of optimal portfolios that result from minimizing ordinary least squares. These regression portfolios are identical to tangency portfolios obtained by maximizing the Sharpe ratio of holdings on the mean-variance efficient frontiers. The Shapley value of individual assets is computed using the statistics resulting from the regressions. The value imputation prices assets by their comprehensive contribution to portfolio risk and return. This procedure allows investors to make unbiased decisions when analyzing the inherent risk of their holdings. By running OLS regressions, the Shapley value is calculated for asset allocation using Ibbotson’s aggregate financial data for the years 1926–2019.
has issue date	2020-07-20(xsd:dateTime)
bibo:doi	10.1057/s41260-020-00175-0
has license	no-cc
sha1sum (hex)	be37a976dc6d82bd8b29f265b496060ce2e4879e
schema:url	https://doi.org/10.1057/s41260-020-00175-0
resource representing a document's title	The Shapley value of regression portfolios
has PubMed Central identifier	PMC7371791
schema:publication	J Asset Manag
resource representing a document's body	covid:be37a976dc6d82bd8b29f265b496060ce2e4879e#body_text
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