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Regression-based Performance Attribution
Author: David C. Blintz
Price: $25.00

Detailed Description

Traditional performance attribution cannot adequately handle simultaneous investment decisions because it needs to assume a hierarchical structure.  It also results in undesirable cross products.  The author describes an alternative, regression-based approach that effectively deals with these issues.  The key characteristic of this approach is to make a breakdown of individual stock returns in relevant components.

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