TY - CHAP
T1 - Optimization with Performance-Attribution Constraints
AU - Lindquist, W. Brent
AU - Rachev, Svetlozar T.
AU - Hu, Yuan
AU - Shirvani, Abootaleb
N1 - Publisher Copyright:
© 2022, The Author(s), under exclusive license to Springer Nature Switzerland AG.
PY - 2022
Y1 - 2022
N2 - How well a portfolio performs is of primary concern for investors and governs investor confidence in the portfolio’s management. Attribution analysis provides measures for how well a portfolio is being managed. While performance-attribution measures have been used traditionally as a diagnostic tool, this chapter introduces the recent development to include these measures as constraints in portfolio optimization. Two such measures, asset allocation and the selection effect, are used to constrain conditional value-at-risk optimization of the domestic REIT portfolio under historical and dynamic optimization. The results are analyzed in terms of price and reward-to-risk performance measures. Performance improvement is then characterized in terms of the attribution measure used as the constraint, the optimization method, and the level of turnover constraint.
AB - How well a portfolio performs is of primary concern for investors and governs investor confidence in the portfolio’s management. Attribution analysis provides measures for how well a portfolio is being managed. While performance-attribution measures have been used traditionally as a diagnostic tool, this chapter introduces the recent development to include these measures as constraints in portfolio optimization. Two such measures, asset allocation and the selection effect, are used to constrain conditional value-at-risk optimization of the domestic REIT portfolio under historical and dynamic optimization. The results are analyzed in terms of price and reward-to-risk performance measures. Performance improvement is then characterized in terms of the attribution measure used as the constraint, the optimization method, and the level of turnover constraint.
UR - http://www.scopus.com/inward/record.url?scp=85142037743&partnerID=8YFLogxK
U2 - 10.1007/978-3-031-15286-3_11
DO - 10.1007/978-3-031-15286-3_11
M3 - Chapter
AN - SCOPUS:85142037743
T3 - Dynamic Modeling and Econometrics in Economics and Finance
SP - 181
EP - 196
BT - Dynamic Modeling and Econometrics in Economics and Finance
PB - Springer Science and Business Media Deutschland GmbH
ER -