Variance allocation and Shapley value
From MaRDI portal
Publication:1617328
DOI10.1007/s11009-016-9540-5zbMath1417.91038arXiv1606.09424OpenAlexW3105787463MaRDI QIDQ1617328
Stefano Vaccari, Marco Scarsini, Riccardo Colini-Baldeschi
Publication date: 8 November 2018
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1606.09424
Cooperative games (91A12) Computational difficulty of problems (lower bounds, completeness, difficulty of approximation, etc.) (68Q17)
Related Items (6)
Tail variance allocation, Shapley value, and the majorization problem ⋮ Variance Reduction for Estimation of Shapley Effects and Adaptation to Unknown Input Distribution ⋮ On Shapley Value for Measuring Importance of Dependent Inputs ⋮ On the comparison of Shapley values for variance and standard deviation games ⋮ The Shapley value decomposition of optimal portfolios ⋮ Pooling Risk Games
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The newsvendor game has a nonempty core
- Dynamic capital allocation with distortion risk measures
- Large newsvendor games
- Polynomial calculation of the Shapley value based on sampling
- To split or not to split: Capital allocation with convex risk measures
- Transversality of the Shapley value
- Importance of system components and fault tree events
- Risk capital allocation and cooperative pricing of insurance liabilities.
- On the extensions of Barlow-Proschan importance index and system signature to dependent lifetimes
- Generalized Hoeffding-Sobol decomposition for dependent variables -- application to sensitivity analysis
- A linear approximation method for the Shapley value
- Tail conditional expectation for multivariate distributions: a game theory approach
- Cores of convex games
- Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
- Coherent Measures of Risk
- Computational Aspects of Cooperative Game Theory
- Sobol' Indices and Shapley Value
- Cooperation in Service Systems
- Shapley Effects for Global Sensitivity Analysis: Theory and Computation
- A note on a method for generating points uniformly on n -dimensional spheres
- Relative Importance by Averaging Over Orderings
- Values of Non-Atomic Games
- On the Complexity of Cooperative Solution Concepts
- Replication procedure for grouped Sobol' indices estimation in dependent uncertainty spaces
- On Shapley Value for Measuring Importance of Dependent Inputs
- Analysis of regression in game theory approach
- Generalized Sobol sensitivity indices for dependent variables: numerical methods
- Do not adjust coefficients in Shapley value regression
- Variance Components and Generalized Sobol' Indices
- Game Theory
- Introduction to the Theory of Cooperative Games
- Inequalities: theory of majorization and its applications
This page was built for publication: Variance allocation and Shapley value
