The link between the Shapley value and the beta factor

DOI10.1007/s10203-016-0178-0zbMath1398.91043OpenAlexW2521694569MaRDI QIDQ524900

Karl Michael Ortmann

Publication date: 27 April 2017

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-016-0178-0

zbMATH Keywords

Shapley valuemarket riskCAPMsystematic riskbeta factor

Mathematics Subject Classification ID

Related Items (2)

Preservation of risk in capital markets ⋮ The Shapley value decomposition of optimal portfolios

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