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

11 Feb 2013

Calculates the percentage contribution to portfolio volatility of each investment.

File Information
Description	Given a covariance matrix and a set of weights, this function returns the Shapley percentange contribution to portfolio volatility of a set of weights. The intuition behind this decomposition can be found at http://en.wikipedia.org/wiki/Shapley_value
MATLAB release	MATLAB 7.13 (R2011b)

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Everyone's Tags	contribution to risk, diversification, finance, portfolio risk, statistics
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