方差分配和Shapley值
Variance Allocation and Shapley Value
摘要：
基于Markowitz均值-方差选择范式下的投资组合效用分配问题，提出了一个$n$可能相依随机变量之和方差的分配准则.这个标准，Shapley值，要求将问题转化为一个合作对策。Shapley值具有很好的属性，但通常需要计算。本文的主要结果表明，在我们的特殊情况下，Shapley值有一个非常简单的形式，可以很容易地计算。同样的准则也被用来分配的标准差的总和$n$随机变量和猜想的关系，在两个游戏制定。
英文摘要：
Motivated by the problem of utility allocation in a portfolio under a Markowitz mean-variance choice paradigm, we propose an allocation criterion for the variance of the sum of $n$ possibly dependent random variables. This criterion, the Shapley value, requires to translate the problem into a cooperative game. The Shapley value has nice properties, but, in general, is computationally demanding. The main result of this paper shows that in our particular case the Shapley value has a very simple form that can be easily computed. The same criterion is used also to allocate the standard deviation of the sum of $n$ random variables and a conjecture about the relation of the values in the two games is formulated.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
