Multi-Period Performance Attribution: A Refreshing Perspective

2005 ◽  
Author(s):  
Sebastien Gyger
Keyword(s):  
Performance Attribution ◽  
Period Performance

Performance Attribution for Real Estate Portfolios

1995 ◽  
Vol 1995 (3) ◽  
pp. 133-137, 139-140
Author(s):  
Nori Gerardo
Keyword(s):  
Real Estate ◽  
Performance Attribution

scholarly journals Portfolio Optimization Constrained by Performance Attribution

2021 ◽  
Vol 14 (5) ◽  
pp. 201
Author(s):  
Yuan Hu ◽  
W. Brent Lindquist ◽  
Svetlozar T. Rachev
Keyword(s):  
Portfolio Optimization ◽  
Asset Allocation ◽  
Value At Risk ◽  
Risk Measures ◽  
Risk Measure ◽  
Selection Effect ◽  
Conditional Value At Risk ◽  
Positive Role ◽  
Performance Attribution ◽  
Dow Jones Industrial Average

This paper investigates performance attribution measures as a basis for constraining portfolio optimization. We employ optimizations that minimize conditional value-at-risk and investigate two performance attributes, asset allocation (AA) and the selection effect (SE), as constraints on asset weights. The test portfolio consists of stocks from the Dow Jones Industrial Average index. Values for the performance attributes are established relative to two benchmarks, equi-weighted and price-weighted portfolios of the same stocks. Performance of the optimized portfolios is judged using comparisons of cumulative price and the risk-measures: maximum drawdown, Sharpe ratio, Sortino–Satchell ratio and Rachev ratio. The results suggest that achieving SE performance thresholds requires larger turnover values than that required for achieving comparable AA thresholds. The results also suggest a positive role in price and risk-measure performance for the imposition of constraints on AA and SE.

scholarly journals Enhanced Recommendation System in Community–Question-Answering Websites using Splay-Tree Methodology

2019 ◽  
Vol 9 (1) ◽  
pp. 1305-1310
Keyword(s):  
Recommendation System ◽  
Question Answering ◽  
Research Work ◽  
Community Question Answering ◽  
Splay Tree ◽  
Ranking Systems ◽  
Long Time ◽  
To Receive ◽  
Period Performance ◽  
Question And Answering

In community-driven ranking systems participants with superior scores acquire strong reputation than low scored participants. The community-question-aswering websites, like stackexchange network, participants with unreciprocated or unnoticed questions for a long time get a badge called tumbleweed without taking into account of their earlier period performance. The user-driven question and answering website considers this reward as a consolation prize and discourages them instead of encouraging. Mostly, the users who ask unnoticed questions are either a new or less scored participants. The center of attention of this research work is to propose a recommendation system that prevents unnoticed questions from the participants who are about to receive a tumbleweed badge. A splay-tree is a tree with a self-balancing ability which brings the newly accessed node to the apex of the tree. In this paper, the splay-tree correspond to participants’ ranks and the highlight of the work is to raise average or beneath average scorer to apex without disturbing existing toppers

scholarly journals BİST’DE İŞLEM GÖREN KÂĞIT VE KÂĞIT ÜRÜNLERİ BASIM VE YAYIN İŞLETMELERİNİN TOPSİS, PROMETHEE VE COPRAS YÖNTEMLERİYLE FİNANSAL PERFORMANSLARININ BELİRLENMESİ

2018 ◽  
Vol 6 (3) ◽  
Author(s):  
Fatma AKYÜZ ◽  
Tolga YEŞİL ◽  
İsmail KARA ◽  
Gürsel ERSOY
Keyword(s):  
Decision Making ◽  
Financial Statements ◽  
Assessment Methods ◽  
Production Costs ◽  
Financial Ratios ◽  
Preference Ranking ◽  
Multi Criteria Decision Making ◽  
Public Disclosure ◽  
The Public ◽  
Period Performance

Paper and Paper Products in the printing and publishing sector, production costs have increased due to the recent dependence on imports. At this point, Paper and Paper Products Printing and Publishing sector has been preferred and the leading companies in the sector have been tried to be determined by multi-criteria decision making methods. In this study, the financial performances of the paper and paper products printing and publishing sector traded in Borsa Istanbul between the years of 2012-2017, which is one of the multi criteria decision making methods, are the most important decision making methods, PROMETHEE (Preference Ranking Organization Method for Enrichment Evaluation and COPRAS (Complex Proportional Assessment) methods. The research sample consisted of 14 companies listed in the BIST. Firstly, the financial ratios used in multi-criteria decision making methods were explained and then the application steps of TOPSİS, PROMETHEE and COPRAS methods were included. During the calculation of financial ratios, the financial statements of the related companies between the years 2012-2017 were used in the light of the data obtained from the Public Disclosure Platform. As a result of the research, the 6-period performance of the companies have rewieved, between the years 2012-2017 was evaluated with 10 financial ratios and the results were compared.

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