Péter Csóka’s scientific talk in the Corvinus Game Theory Seminar

Date: 17 October 2024, 10:00-11:00 

Location: Corvinus University of Budapest, Building C, room 714 

The organizers of the Corvinus Game Theory Seminar hold a scientific talk with Dr. Péter Csóka, professor at the Corvinus Institute of Finance. 

Abstract of the lecture:  

Financial performance attribution is a method used to analyze and explain the sources of a portfolio’s returns, particularly by comparing its performance to a benchmark. The aim is to break down the difference between the portfolio’s return and the benchmark’s return (referred to as the active return) and attribute that difference to specific factors, such as asset allocation, security selection, and their interaction. Standard frameworks for performance attribution include the Brinson-Fachler and Brinson-Hood-Beebower models. In this paper, we review and generalize these frameworks using a cooperative game theory perspective. Unlike the traditional game theory approach, where total value is allocated to individuals, capturing interaction effects requires allocating total value to coalitions. Specifically, we argue that the axiomatic approach, along with widely accepted industry standards point towards using Harsanyi dividends for performance attribution. 

The talk is based on joint work with Carlo Acerbi and P. Jean-Jacques Herings.