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virginie terraza and stephane mussard
''New trading risk indexes: application of the shapley value in finance''
( 2007, Vol. 3 No.25 )
The aim of this paper is to offer new risk indicators that enable one to classify securities of a portfolio according to their risk degrees. These indexes are issued from a new method of the covariance decomposition based on the Shapley Value. The risk indicators are computed via the well-known Gini coefficient, which is viewed as a new risk measure and compared with the traditional measures related with the modern theory of portfolio. These indicators yield suitable information, which could be used by private or institutional investors to trade strategies on market portfolio.
JEL: C1 - Econometric and Statistical Methods: General
Manuscript Received : Jun 01 2007 Manuscript Accepted : Jun 20 2007

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