A Note on Portfolio Performance Attribution: Taking Risk into Account
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Abstract
(This abstract was borrowed from another version of this item.)
Suggested Citation
DOI: 10.2139/ssrn.2564570
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Other versions of this item:
- 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.
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.
- 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.
- Philippe Bertrand, 2009. "Risk-adjusted performance attribution and portfolio optimisations under tracking-error constraints," Post-Print hal-01833079, HAL.
- 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.
- Jan Frederick Hausner & Gary van Vuuren, 2021. "Portfolio performance under tracking error and benchmark volatility constraints," Journal of Economics, Finance and Administrative Science, Emerald Group Publishing Limited, vol. 26(51), pages 94-111, June.
- 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.
- Michael Maxwell & Gary Vuuren, 2019. "Active Investment Strategies under Tracking Error Constraints," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 25(3), pages 309-322, August.
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