Portfolio Optimization Constrained by Performance Attribution

  title={Portfolio Optimization Constrained by Performance Attribution},
  author={Yuancheng Hu and W. Brent Lindquist and Svetlozar T. Rachev},
This paper investigates performance attribution measures as a basis for constraining portfolio optimization. We employ optimizations that minimize conditional value-at-risk and investigate two performance attributes, asset allocation (AA) and the selection effect (SE), as constraints on asset weights. The test portfolio consists of stocks from the Dow Jones Industrial Average index. Values for the performance attributes are established relative to two benchmarks, equi-weighted and price… Expand
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