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Home» Product » A Brinson Model Alternative: an Equity Attribution Model with Orthogonal Risk Attributions

A Brinson Model Alternative: an Equity Attribution Model with Orthogonal Risk Attributions

Posted by admin - May 13, 2014 -
0

$25.00

This paper presents an algorithm for equity attribution that circumvents some of the less intuitive features of the standard Brinson model. The proposed alternative framework provides an unambiguous division of returns by source of risk, in a manner consistent with first-principles interpretation.

Author: Andrew Colin, Ph.D.

SKU: Fall200712-1-5 Category: Articles Tags: article, Brinson model, equity attribution, Orthogonal Risk Attributions
  • Description

Description

This paper presents an algorithm for equity attribution that circumvents some of the less intuitive features of the standard Brinson model. The proposed alternative framework provides an unambiguous division of returns by source of risk, in a manner consistent with first-principles interpretation.

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