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Jul, 2024
资产定价中的归因方法：是否考虑了风险？
Attribution Methods in Asset Pricing: Do They Account for Risk?
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Dangxing Chen, Yuan Gao
TL;DR
通过分析资产定价领域的领域知识，我们研究了多个与资产定价有关的公理。我们证明了 Shapley 值和综合梯度在保留大多数公理时，都不能满足全部公理。通过大量的分析和实证例子，我们展示了如何使用归因方法来反映风险，并指出在何种情况下不应使用归因方法。
Abstract
Over the past few decades,
machine learning models
have been extremely successful. As a result of
axiomatic
attribution methods
, feature c
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