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Journal Articles Journal of Asset Management Year : 2009

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

Philippe Bertrand
Centre d'Études et de Recherche en Gestion d'Aix-Marseille

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Quantitative Finance [q-fin] General Finance [q-fin.GN]

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https://hal-amu.archives-ouvertes.fr/hal-01833079

Submitted on : Monday, July 9, 2018-1:03:36 PM

Last modification on : Thursday, July 14, 2022-4:07:59 AM

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hal-01833079 , version 1 (09-07-2018)

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Philippe Bertrand. Risk-adjusted performance attribution and portfolio optimisations under tracking-error constraints. Journal of Asset Management, 2009, 10 (2), pp.75 - 88. ⟨10.1057/jam.2008.37⟩. ⟨hal-01833079⟩

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