Risk Decomposition and Its Use in Portfolio Analysis
$25
The author presents risk decomposition and explains its geometric meaning. He decomposes the information ratio and Sharpe ratio into several components along with the risk decomposition, and shows how to apply the risk decomposition in portfolio analysis such as tracking error analysis and risk-based performance analysis.
Author: George Xiang, Ph.D.
The author presents risk decomposition and explains its geometric meaning. He decomposes the information ratio and Sharpe ratio into several components along with the risk decomposition, and shows how to apply the risk decomposition in portfolio analysis such as tracking error analysis and risk-based performance analysis.
