Portfolio Performance Attribution via Shapley Value
Computational Finance
2021-02-12 v1
Abstract
We consider an investment process that includes a number of features, each of which can be active or inactive. Our goal is to attribute or decompose an achieved performance to each of these features, plus a baseline value. There are many ways to do this, which lead to potentially different attributions in any specific case. We argue that a specific attribution method due to Shapley is the preferred method, and discuss methods that can be used to compute this attribution exactly, or when that is not practical, approximately.
Cite
@article{arxiv.2102.05799,
title = {Portfolio Performance Attribution via Shapley Value},
author = {Nicholas Moehle and Stephen Boyd and Andrew Ang},
journal= {arXiv preprint arXiv:2102.05799},
year = {2021}
}