Portfolio risk allocation through Shapley value.
Patrick S. HaganAndrew LesniewskiGeorgios E. SkoufisDiana E. WoodwardPublished in: CoRR (2021)
Keyphrases
- portfolio management
- portfolio optimization
- decision making
- game theory
- investment decisions
- efficient frontier
- risk measures
- investment strategies
- portfolio selection
- portfolio theory
- risk management
- market data
- var model
- resource allocation
- risk assessment
- minimum risk
- optimal allocation
- high risk
- game theoretic
- risk averse
- combinatorial auctions
- allocation strategy
- allocation policy
- optimal portfolio
- asset allocation