英文标题：
《Signal-wise performance attribution for constrained portfolio
optimisation》
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作者：
Bruno Durin
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最新提交年份：
2014
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英文摘要：
Performance analysis, from the external point of view of a client who would only have access to returns and holdings of a fund, evolved towards exact attribution made in the context of portfolio optimisation, which is the internal point of view of a manager controlling all the parameters of this optimisation. Attribution is exact, that-is-to-say no residual \"interaction\" term remains, and various contributions to the optimal portfolio can be identified: predictive signals, constraints, benchmark. However constraints are identified as a separate portfolio and attribution for each signal that are used to predict future returns thus corresponds to unconstrained signal portfolios. We propose a novel attribution method that put predictive signals at the core of attribution and allows to include the effect of constraints in portfolios attributed to every signal. We show how this can be applied to various trading models and portfolio optimisation frameworks and explain what kind of insights such an attribution provides.
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中文摘要：
从客户的外部角度来看，绩效分析只能获得回报和基金持有量，而在投资组合优化的背景下，绩效分析则朝着准确的归因方向发展，这是管理者控制该优化所有参数的内部观点。归因是准确的，也就是说没有剩余的“互动”术语，并且可以确定对最优投资组合的各种贡献：预测信号、约束、基准。然而，约束被确定为一个单独的投资组合，用于预测未来收益的每个信号的属性因此对应于无约束的信号投资组合。我们提出了一种新的归因方法，将预测信号置于归因的核心，并允许在归因于每个信号的投资组合中包含约束的影响。我们展示了如何将其应用于各种交易模型和投资组合优化框架，并解释了这种归因提供了什么样的见解。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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