$25.00
This article proposes a method for global investment attribution. This method can be applied to equity portfolios when portfolios are composed of asset traded in different currencies, active currency management strategies, and other investment policies. This method considers the problem of computing and the decomposition of rates of return for such investment portfolios with multiple currencies, and provides a detailed and complete study of mathematical aspects, illustrated by a numerical example confirming the validity of the analytical results.
Author: Yuri Shestopaloff, Ph.D., SegmentSoft, Inc.
Description
This article proposes a method for global investment attribution. This method can be applied to equity portfolios when portfolios are composed of asset traded in different currencies, active currency management strategies, and other investment policies. This method considers the problem of computing and the decomposition of rates of return for such investment portfolios with multiple currencies, and provides a detailed and complete study of mathematical aspects, illustrated by a numerical example confirming the validity of the analytical results.
A Model for a Global Investment Attribution Analysis
Related products
-
A Consistent Linking Concept for Fast Calculations of the Rate of Return and Research of Investment
$25.00 Add to cart -
A Geometric Methodology for Performance Attribution
$25.00 Add to cart -
A Geometric Attribution Model and a Symmetry Principle
$25.00 Add to cart -
A Case for Arithmetic Attribution
$25.00 Add to cart