The standard method of decomposing portfolio risk into contributions from individual assets
'Risk budgeting' by pension funds
Unfortunately, while this analysis gives a unique answer for absolute risk, it gives three very different answers for tracking error, or risk relative to some benchmark (such as the pension fund's liabilities)
Description of what is happening
Analysis used by most practitioners does not give the most useful answer
MacQueen, J. (2007, October 1). Risk decomposition (and risk budgeting) [Video file]. In The Business & Management Collection, Henry Stewart Talks. Retrieved June 20, 2021, from https://hstalks.com/bm/8/.