Applications of Shapley Value to Financial Decision-Making and Risk Management

Applications of Shapley Value to Financial Decision-Making and Risk Management

We investigate the application of the Shapley value in addressing risk-related challenges, focusing on two primary areas. The first area explores the role of the Shapley value in the financial sector, specifically in managing portfolio risk. By conceptualizing a portfolio of assets as a cooperative...

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Bibliographic Details
Main Authors: Sunday Timileyin Ayodeji, Olamide Ayodele, Kayode Oshinubi
Format: Article
Language:English
Published: MDPI AG 2025-05-01
Series:AppliedMath
Subjects:
Shapley value
mean-variance analysis
frontier portfolio
coverage game
risk management
Online Access:https://www.mdpi.com/2673-9909/5/2/59
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