PORTFOLIO MANAGEMENT - Portfolio Constraints and the Fundamental Law of Active Management - The fundamental law can be generalized to include an information transfer coefficient that reflects portfolio constraints.
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|Authors:||Clarke, Roger ; Silva, Harindra de ; Thorley, Steven|
Financial analysts' journal : FAJ. - Charlottesville, Va : CFA Institute, ISSN 0015-198X, ZDB-ID 2194090. - Vol. 58.2002, 5, p. 48-66
PORTFOLIO MANAGEMENT - Performance Attribution and the Fundamental Law - The reported study operationalized the "fundamental law of active management" in the context of a factor-based performance attribution system. The system incorporates factor payoffs in the linear regression framework that many portfolio managers and external reviewers use to judge what is being rewarded in the market. The ...
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