Download This PaperActive Risk Attribution
6 Pages Posted: 26 Oct 2012 Last revised: 29 Jun 2013
Date Written: October 25, 2012
Abstract
We propose an integrated analysis of portfolio performance and active risk by applying the Brinson approach to Tracking Error and active Beta.
Keywords: portfolio analysis, performance attribution, risk management, Brinson, risk-adjusted performance, beta, tracking error
Suggested Citation: Suggested Citation
Steiner, Andreas, Active Risk Attribution (October 25, 2012). Available at SSRN: https://ssrn.com/abstract=2166714 or http://dx.doi.org/10.2139/ssrn.2166714
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