Return decomposition of absolute-performance multi-asset class portfolios

Financial Markets and Portfolio Management

Volumn 21, Issue 1, 2007, Pages 121-134

  Illmer, Stefan J ^a   Marty, Wolfgang ^a  

^a Credit Suisse group   (Switzerland)

Author keywords

Absolute performance; Benchmark; Performance measurement; Portfolio optimization

Indexed keywords

EID: 33846955461     PISSN: 15554961     EISSN: 1555497X     Source Type: Journal    
DOI: 10.1007/s11408-006-0028-0     Document Type: Article

References (4)

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3. Illmer, S., Marty, W.: Decomposing the money-weighted rate of return. J. Perform. Meas. Summer 7(4), 42-50 (2003)
4. Vörös, J.: The explicit derivation of the efficient portfolio frontier in the case of degeneracy and general singularity. Eur. J. Operat. Res. 32, 302-310 (1987)