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ShapleyRiskDecomposition(C,w,... PCTR = ShapleyRiskDecomposition(C,w,createplot,names);
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Shapley Portfolio Risk Decomposition

11 Feb 2013

Calculates the percentage contribution to risk of each asset/strategy/investment.

File Information
Description	Given a covariance matrix and a vector of weights, the function returns the Shapley risk decomposition of each asset. It also calculates the Euler risk decomposition for comparison. http://en.wikipedia.org/wiki/Shapley_value
MATLAB release	MATLAB 7.13 (R2011b)

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