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This paper shows that a family of methods for attributing market value gains to effects shares a key dilemma that does not arise in an idealized model. Specializing the idea to the Brinson attribution model reveals certain refinements in practical algorithms.
Author: David Carino, Ph.D.
Description
This paper shows that a family of methods for attributing market value gains to effects shares a key dilemma that does not arise in an idealized model. Specializing the idea to the Brinson attribution model reveals certain refinements in practical algorithms.
Refinements in Multi-Period Attribution
