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

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