On the comparison of Shapley values for variance and standard deviation games

Motivated by the problem of variance allocation for the sum of dependent random variables, Colini-Baldeschi, Scarsini and Vaccari (2018) recently introduced Shapley values for variance and standard deviation games. These Shapley values constitute a criterion satisfying nice properties useful for all...

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Veröffentlicht in:	Journal of applied probability 2021-09, Vol.58 (3), p.609-620
Hauptverfasser:	Galeotti, Marcello, Rabitti, Giovanni
Format:	Artikel
Sprache:	eng
Schlagworte:	Dependent variables Game theory Games Independent variables Inequality Original Article Queuing theory Random variables Research Papers Standard deviation Variance
Online-Zugang:	Volltext
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