Showing 1 - 10 of 274
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...
Persistent link: https://www.econbiz.de/10012534497
Persistent link: https://www.econbiz.de/10001458594
Persistent link: https://www.econbiz.de/10000829201
Persistent link: https://www.econbiz.de/10000910289
Persistent link: https://www.econbiz.de/10001551141
Persistent link: https://www.econbiz.de/10001552680
Persistent link: https://www.econbiz.de/10001664429
Persistent link: https://www.econbiz.de/10001730170
Persistent link: https://www.econbiz.de/10003054140
Persistent link: https://www.econbiz.de/10003054199