Title: Risk Attribution and Portfolio Optimizations Under Tracking-Error Constraints
Abstract: This paper examines wether risk attribution process is consistent with portfolio optimizations under tracking-error constraints. Since Mina (2003), Bertrand (2005) and Menchero and Hu (2006), risk attribution has been widely used in the performance attribution process.
Publication Year: 2008
Publication Date: 2008-01-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 1
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