On Geometric and Arithmetic Approaches to Attribution Linking

On Geometric and Arithmetic Approaches to Attribution Linking
Author :
Publisher :
Total Pages : 0
Release :
ISBN-10 : OCLC:1376287125
ISBN-13 :
Rating : 4/5 (25 Downloads)

Book Synopsis On Geometric and Arithmetic Approaches to Attribution Linking by : Andrei Reztsov

Download or read book On Geometric and Arithmetic Approaches to Attribution Linking written by Andrei Reztsov and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: I am following the recent discussion on a new Arithmetic Linking Algorithm gF (which is equivalent to a Geometric one and was presented in the article “Geometric and Arithmetic Approaches to Attribution Linking are Equivalent” by Andrei Reztsov in the Winter 2011/2012 issue of the Journal of Performance Measurement, Volume 16, Number 2). As an answer to numerous requests from Performance Measurement professionals I developed a simple MATLAB code that provides results for large values of L (i.e. number of months to link or number of days, if we are looking for monthly value through the linking of daily values). As our code is free and suppose to published soon in JPM, every Performance Measurement practitioner (even not a computational specialist or the person with no knowledge of MATLAB) could easily use the code and obtain required results in milliseconds. The executable version of this software is also available upon request; in this case any PC without MATLAB could be used for the calculations. The new Arithmetic Linking Algorithm effectively “patches the existing holes” in other methods. Unlike the standard and modified Frongello Algorithms, the new method is independent of the month order. Compared to Carino and Menchero, this is a linear and non-smoothing construction. The new algorithm is simple, easy to use, and hence more appropriate for practitioners without advanced training in mathematics. It should eventually replace whatever Arithmetic algorithm is used by Performance Measurement specialists (i.e. Frogello. Carino, Menchero).


On Geometric and Arithmetic Approaches to Attribution Linking Related Books

On Geometric and Arithmetic Approaches to Attribution Linking
Language: en
Pages: 0
Authors: Andrei Reztsov
Categories:
Type: BOOK - Published: 2012 - Publisher:

DOWNLOAD EBOOK

I am following the recent discussion on a new Arithmetic Linking Algorithm gF (which is equivalent to a Geometric one and was presented in the article “Geomet
Implementation of a Performance Attribution System in a Funds Management Company
Language: en
Pages: 157
Authors: Marc Vogel
Categories: Business & Economics
Type: BOOK - Published: 2005-03-31 - Publisher: diplom.de

DOWNLOAD EBOOK

Inhaltsangabe:Introduction: Within this thesis fundamentals of performance attribution are treated as well as the practical implementation of such a system. How
Performance Attribution: History and Progress
Language: en
Pages: 68
Authors: Carl R. Bacon
Categories: Business & Economics
Type: BOOK - Published: 2019-12-23 - Publisher: CFA Institute Research Foundation

DOWNLOAD EBOOK

The objective of performance attribution is to explain portfolio performance relative to a benchmark, identify the sources of excess return, and relate those so
Framework for Developing Attribution Models. Symmetrical Arithmetic and Geometric Attribution
Language: en
Pages: 0
Authors: Yuri K. Shestopaloff
Categories:
Type: BOOK - Published: 2015-05-04 - Publisher:

DOWNLOAD EBOOK

The book introduces an efficient practical framework for development of attribution models, which present one of the major analytical vehicles in investment ana
Science of Inexact Mathematics
Language: en
Pages: 593
Authors: Yuri K. Shestopaloff
Categories: Business & Economics
Type: BOOK - Published: 2009 - Publisher: AKVY PRESS

DOWNLOAD EBOOK