Risk Attribution and Portfolio Optimizations Under Tracking-Error Constraints - Aix-Marseille Université
Journal Articles The Journal of Performance Measurement Year : 2008

Risk Attribution and Portfolio Optimizations Under Tracking-Error Constraints

Philippe Bertrand
Centre d'Études et de Recherche en Gestion d'Aix-Marseille

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General Finance [q-fin.GN]

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https://amu.hal.science/hal-01833102

Submitted on : Monday, July 9, 2018-1:33:51 PM

Last modification on : Tuesday, December 5, 2023-6:08:07 PM

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hal-01833102 , version 1 (09-07-2018)

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Philippe Bertrand. Risk Attribution and Portfolio Optimizations Under Tracking-Error Constraints. The Journal of Performance Measurement, 2008, ⟨10.2139/ssrn.1140243⟩. ⟨hal-01833102⟩

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