Risk-adjusted performance attribution and portfolio optimisations under tracking-error constraints-Reference-Cited by-同舟云学术

Risk-adjusted performance attribution and portfolio optimisations under tracking-error constraints

Published:2009-05-28 Issue:2 Volume:10 Page:75-88
ISSN:1470-8272
Container-title:Journal of Asset Management
language:en
Short-container-title:J Asset Manag

Author:

Bertrand Philippe

Publisher

Springer Science and Business Media LLC

Subject

Information Systems and Management,Strategy and Management,Business and International Management

Link

http://link.springer.com/content/pdf/10.1057/jam.2008.37.pdf

Reference16 articles.

1. Bertrand, Ph. (2005) A note on portfolio performance attribution: Taking risk into account. Journal of Asset Management 5 (6): 428–437.

2. Bertrand, Ph. (2008a) Another look at portfolio optimization under tracking-error constraints. GREQAM Discussion Paper, June 2008.

3. Bertrand, Ph. (2008b) Risk attribution and portfolio optimizations under tracking-error constraints. Journal of Performance Measurement 13 (1).

4. Bertrand, Ph., Prigent, J. -L. and Sobotka, R. (2001) Optimisation de portefeuille sous contrainte de variance de la tracking-error. Banque & Marchés (54): 19–28.

5. Biglova, A. and Rachev, S. (2007) Portfolio performance attribution. Investment Management and Financial Innovations 4 (3): 7–22.

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