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Portfolio Performance Attribution via Shapley Value

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arxiv 2102.05799 v1 pith:KPBXWDR4 submitted 2021-02-11 q-fin.CP

Nicholas Moehle , Stephen Boyd , Andrew Ang This is my paper · ORCID
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keywords attributionfeaturesmethodperformanceshapleyspecificvalueachieved
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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.

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  1. Simple and Effective Portfolio Construction with Crypto Assets

    econ.EM 2024-12 conditional novelty 5.0 of 10

    A 90/10 traditional/crypto portfolio, diluted with cash to a target risk level, matched a full risk-allocation optimizer and beat an equities-only portfolio in a 2017-2024 backtest.

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