Performance Measurement via Random Portfolios
نویسندگان
چکیده
منابع مشابه
PERFORMANCE ATTRIBUTION FOR EQUITY PORTFOLIOS Performance Attribution for Equity Portfolios
Many portfolio managers measure performance with reference to a benchmark. The difference in return between a portfolio and its benchmark is the active return of the portfolio. Portfolio managers and their clients want to know what caused this active return. Performance attribution decomposes the active return. The two most common approaches are the Brinson-Hood-Beebower (hereafter referred to ...
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Results from two-stage asset pricing tests vary with first-stage design choices and test assets. First, I argue that time-varying betas have higher construct validity than constant loadings as they are not conditional on future (returns) information and more accurately capture time-varying expected returns. Second, randomly generated portfolios as test assets yield, in contrast to the systemati...
متن کاملPerformance Attribution for Equity Portfolios
Many portfolio managers measure performance with reference to a benchmark. The difference in return between a portfolio and its benchmark is the active return of the portfolio. Portfolio managers and their clients want to know what caused this active return. Performance attribution decomposes the active return. The two most common approaches are the Brinson-Hood-Beebower (hereafter referred to ...
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In recent years the concept of sequential portfolio has become an important topic to improve the performance of modern problem solvers, such as SAT engines or planners. The PbP planner and more recently Fast Downward Stone Soup are successful approaches in Automated Planning that follow this trend. However, neither a theoretical analysis nor formal definitions about sequential portfolios have b...
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Performance measurement is generally depicted as a neutral, technical exercise providing objective data for decision-making. But it also has a normative role in framing policy problems and solutions. This article explores the role of indicators in shaping child welfare, comparing stated policy with performance indicator regimes in England. It shows how indicators construct child welfare narrowl...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2004
ISSN: 1556-5068
DOI: 10.2139/ssrn.630123