Quant Nugget 5 : Return Calculations for Leveraged Securities and Portfolios

How can we report returns for a swap that has zero value? How can we perform return optimization for a zero-value long-short portfolio? By introducing a suitable "basis", it is possible to extend the definition of returns to leveraged products in such a way that performance attribution and portfolio optimization are feasible. Risk-adjusted performance attribution and connections of performance attribution with probability theory are also discussed

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Year of publication:	2010
Authors:	Meucci, Attilio
Publisher:	[2010]: [S.l.] : SSRN
Subject:	Portfolio-Management \| Portfolio selection \| Theorie \| Theory \| Kapitaleinkommen \| Capital income \| CAPM

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Extent:	1 Online-Ressource (7 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: GARP Risk Professional, pp. 40-43, October 2010 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 10, 2010 erstellt
Classification:	C1 - Econometric and Statistical Methods: General ; G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

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