基于Shapley值的投资组合业绩归因
Portfolio Performance Attribution via Shapley Value
摘要：
我们考虑一个投资过程，其中包括一些功能，其中每一个可以是活跃或不活跃的。我们的目标是将实现的性能归因或分解为这些特性中的每一个，加上基线值。有很多方法可以做到这一点，这导致在任何特定情况下可能不同的归因。我们认为，一个特定的归因方法，由于沙普利是首选的方法，并讨论了方法，可以用来计算这种属性准确，或者当这是不切实际的，大约。
英文摘要：
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.
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。
