Risk-Adjusted Performance Attribution

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Risk-Adjusted Performance Attribution
Keld Asnæs, Sampension

This article develops a completely new approach to this type of modelling by defining asset allocation and security selection in terms of risk taken. The approach is independent of the choice of risk measure when it satisfies a number of conditions.

Risk-Adjusted Performance Attribution
Keld Asnæs, Sampension

This article develops a completely new approach to this type of modelling by defining asset allocation and security selection in terms of risk taken. The approach is independent of the choice of risk measure when it satisfies a number of conditions.

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The Journal of Performance Measurement

The Performance Measurement Resource.

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