Hu, Yuan; Lindquist, W. Brent; Račev, Svetlozar T. - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-12
This paper investigates performance attribution measures as a basis for constraining portfolio optimization. We employ optimizations that minimize conditional value-at-risk and investigate two performance attributes, asset allocation (AA) and the selection effect (SE), as constraints on asset...