Refinements in Multi-Period Attribution
$25
This paper shows that a family of methods for attributing market value gains to effects shares a key dilemma that does not arise in an idealized model. Specializing the idea to the Brinson attribution model reveals certain refinements in practical algorithms.
Author: David Carino, Ph.D.
This paper shows that a family of methods for attributing market value gains to effects shares a key dilemma that does not arise in an idealized model. Specializing the idea to the Brinson attribution model reveals certain refinements in practical algorithms.
Refinements in Multi-Period Attribution