Risk-adjusted performance attribution and portfolio optimisations under tracking-error constraints
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DOI: 10.1057/jam.2008.37
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Other versions of this item:
- Philippe Bertrand, 2009. "Risk-adjusted performance attribution and portfolio optimisations under tracking-error constraints," Journal of Asset Management, Palgrave Macmillan, vol. 10(2), pages 75-88, June.
References listed on IDEAS
- Philippe Bertrand, 2005. "A note on portfolio performance attribution: Taking risk into account," Post-Print hal-01833048, HAL.
- Philippe Bertrand, 2005.
"A note on portfolio performance attribution: Taking risk into account,"
Journal of Asset Management, Palgrave Macmillan, vol. 5(6), pages 428-437, April.
- Philippe Bertrand, 2005. "A Note on Portfolio Performance Attribution: Taking Risk into Account," Post-Print hal-01833107, HAL.
- Philippe Bertrand, 2008. "Risk Attribution and Portfolio Optimizations Under Tracking-Error Constraints," Post-Print hal-01833102, HAL.
- Merton, Robert C., 1972. "An Analytic Derivation of the Efficient Portfolio Frontier," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 7(4), pages 1851-1872, September.
Citations
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Cited by:
- Michael Maxwell & Michael Daly & Daniel Thomson & Gary van Vuuren, 2018. "Optimizing tracking error-constrained portfolios," Applied Economics, Taylor & Francis Journals, vol. 50(54), pages 5846-5858, November.
- Eric Benhamou & Beatrice Guez, 2018.
"Incremental Sharpe and other performance ratios,"
Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 7(4), pages 1-2.
- Eric Benhamou & Beatrice Guez, 2018. "Incremental Sharpe and other performance ratios," Papers 1807.09864, arXiv.org, revised Dec 2018.
- Eric Benhamou & Beatrice Guez, 2018. "Incremental Sharpe and other performance ratios," Post-Print hal-02012443, HAL.
- Wade Gunning & Gary van Vuuren, 2019. "Exploring the drivers of tracking error constrained portfolio performance," Cogent Economics & Finance, Taylor & Francis Journals, vol. 7(1), pages 1684181-168, January.
- L. Theron & G. van Vuuren, 2020. "Exploring the Behaviour of Actively Managed, Maximally Diversified Portfolios," Studies in Economics and Econometrics, Taylor & Francis Journals, vol. 44(2), pages 49-72, August.
- Eric Benhamou & Beatrice Guez, 2021. "Computation of the marginal contribution of Sharpe ratio and other performance ratios," Working Papers hal-03189299, HAL.
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