2021/02/11 by Nicholas Moehle, Stephen Boyd, Moehle, Nicholas +3 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · #Computational Finance (q-fin.CP) #Decision-Making and Behavioral Economics #FOS: Economics and business #Financial Markets and Investment Strategies #Risk and Portfolio Optimization
paper · pdf · doi:10.48550/arxiv.2102.05799
openalex publication_date 2021/02/11 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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.