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Custom Factor Attribution
3 references·0 citing·6 second hop
Custom Factor Attribution (2008)Custom Factor AttributionLinear Factor Models in Finance (2005)Linear Factor Models in Finan…Risk-Adjusted Performance Attribution (1992)Risk-Adjusted Performance Att…Measuring non-US. equity portfolio performance (1985)Measuring non-US. equity port…Revisiting mutual fund performance evaluation (2013)Toward ESG Alpha: Analyzing ESG Exposures through a Factor Lens (2020)Enhancing portfolio management using artificial intelligence: literature review (2024)Risk Contribution Is Exposure Times Volatility Times Correlation: Decomposing Risk Using the X-Sigma-Rho Formula (2011)Construction of Risk-Averse Enhanced Index Funds (2012)Measures of Residual Risk with Connections to Regression, Risk Tracking, Surrogate Models, and Ambiguity (2015)
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References

  • 1985Measuring non-US. equity portfolio performance116 cited
  • 1992Risk-Adjusted Performance Attribution40 cited
  • 2005Linear Factor Models in Finance29 cited

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