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Author: Yindeng Jiang
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
A number of methods have been developed to link single-period arithmetic attribution results, including the Cariño logarithmic method, the Frongello methods, the Menchero method and some Ad Hoc methods. We point out an omitted but necessary property, the associative property, which renders the Menchero and the Ad Hoc methods invalid. We present evidence that non-associative methods violate another necessary property which we refer to as "sign preservation." These distinct but related properties provide strong support for the use of the Cariño and Frongello methods, which often produce similar results.
Author: Yindeng Jiang
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
A number of methods have been developed to link single-period arithmetic attribution results, including the Cariño logarithmic method, the Frongello methods, the Menchero method and some Ad Hoc methods. We point out an omitted but necessary property, the associative property, which renders the Menchero and the Ad Hoc methods invalid. We present evidence that non-associative methods violate another necessary property which we refer to as "sign preservation." These distinct but related properties provide strong support for the use of the Cariño and Frongello methods, which often produce similar results.
Author: Carl R. Bacon
Publisher: CFA Institute Research Foundation
ISBN: 1944960902
Category : Business & Economics
Languages : en
Pages : 68
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Book Description
The objective of performance attribution is to explain portfolio performance relative to a benchmark, identify the sources of excess return, and relate those sources to active decisions by the portfolio manager. This review charts the development of attribution from its beginning with Fama decomposition in the 1970s, through its foundations in the 1980s, into its issues of multiperiod and multicurrency attribution in the 1990s, and ending on its more detailed models for fixed-income and risk-adjusted attribution in recent years. Types of attribution (including returns based, holdings based, and transaction based) are also discussed as is money-weighted attribution and developments associated with notional funds.
Author: Carl R. Bacon
Publisher: John Wiley & Sons
ISBN: 1119831946
Category : Business & Economics
Languages : en
Pages : 569
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Book Description
A practitioner's guide to the role and implications of performance measurement and attribution analysis in asset management firms Practical Portfolio Performance Measurement and Attribution is a comprehensive reference and guide to the use and calculation of performance returns in the investment decision process. Focusing on real-world application rather than academic theory, this highly practical book helps asset managers and investors determine return on assets, analyse portfolio behaviour and improve performance. Author Carl R. Bacon clearly describes each of the methodologies used by performance analysts in today's financial environment whilst sharing valuable insights drawn from his experience as a Director of Performance Measurement & Risk Control. The third edition is revised to reflect recent developments in performance attribution and presentation standards. Fully up-to-date chapters cover the entire performance measurement process, including return calculations, attribution methodologies, risk measures, manager selection and presentation of performance information. Written by an acknowledged leader in global investment performance standards, performance attribution technique and risk measurement Aligns with the publication of the 2020 Global Investment Performance Standards (GIPS®) Explains the mathematical aspects of performance measurement and attribution in a clear, easy-to-understand manner Provides numerous practical and worked examples of attribution analysis and risk calculations supported by Excel spreadsheets Includes signposts for the future development of performance measurement Practical Portfolio Performance Measurement and Attribution, Third Edition, remains a must-have for performance analysts and risk controllers, portfolio managers, compliance professionals and all asset managers, owners, consultants and servicing firms.
Author: Norbert Eisinger
Publisher: Springer Science & Business Media
ISBN: 3540278281
Category : Computers
Languages : en
Pages : 326
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Book Description
This volume contains the tutorial papers of the Summer School “Reasoning Web,”July25–29,2005(http://reasoningweb. org). TheSchoolwashostedbythe University of Malta and was organized by the Network of Excellence REWERSE “Reasoning on the Web with Rules and Semantics” (http://rewerse. net), funded by the EU Commission and by the Swiss Federal O?ce for Edu- tion and Science within the 6th Framework Programme under the project ref- ence number 506779. The objective of the school was to provide an introduction into methods and issues of the Semantic Web, a major endeavor in current Web research, where the World Wide Web Consortium W3C plays an important role. The main idea of the Semantic Web is to enrich Web data with meta-data carrying a “meaning” of the data and allowing Web-based systems to reason about data (and meta-data). The meta-data used in Semantic Web applications is usually linked to a conceptualization of the application domain shared by di?erent applications. Such a conceptualization is called an ontology and sp- i?es classes of objects and relations between them. Ontologies are de?ned by ontology languages, based on logic and supporting formal reasoning. Just as the current Web is inherently heterogeneous in data formats and data semantics, the Semantic Web will be inherently heterogeneous in its reasoning forms. - deed, any single form of reasoning turns out to be insu?cient in the Semantic Web.
Author: Robert J. Glushko
Publisher: MIT Press
ISBN: 0262313987
Category : Computers
Languages : en
Pages : 561
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Book Description
A framework for the theory and practice of organizing that integrates the concepts and methods of information organization and information retrieval. Organizing is such a common activity that we often do it without thinking much about it. In our daily lives we organize physical things—books on shelves, cutlery in kitchen drawers—and digital things—Web pages, MP3 files, scientific datasets. Millions of people create and browse Web sites, blog, tag, tweet, and upload and download content of all media types without thinking “I'm organizing now” or “I'm retrieving now.” This book offers a framework for the theory and practice of organizing that integrates information organization (IO) and information retrieval (IR), bridging the disciplinary chasms between Library and Information Science and Computer Science, each of which views and teaches IO and IR as separate topics and in substantially different ways. It introduces the unifying concept of an Organizing System—an intentionally arranged collection of resources and the interactions they support—and then explains the key concepts and challenges in the design and deployment of Organizing Systems in many domains, including libraries, museums, business information systems, personal information management, and social computing. Intended for classroom use or as a professional reference, the book covers the activities common to all organizing systems: identifying resources to be organized; organizing resources by describing and classifying them; designing resource-based interactions; and maintaining resources and organization over time. The book is extensively annotated with disciplinary-specific notes to ground it with relevant concepts and references of library science, computing, cognitive science, law, and business.
Author: Yindeng Jiang
Publisher:
ISBN:
Category :
Languages : en
Pages : 22
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Book Description
A number of methods have been developed to link single-period arithmetic attribution results. We present the first institutional portfolio empirical study comparing the most referenced methods for producing additive multiperiod attributes from their single-period counterparts. While our findings suggest the methods typically produce similar results, we find a pattern in the way the methods' results relate to one another. We find the Modified Frongello Method and Cariño Method to produce nearly identical results, the Frongello and Cariño methods to cluster and the Naïve and Menchero methods to be outliers.
Author: Robert J. Glushko
Publisher: "O'Reilly Media, Inc."
ISBN: 1491912812
Category : Computers
Languages : en
Pages : 620
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Book Description
Note about this ebook: This ebook exploits many advanced capabilities with images, hypertext, and interactivity and is optimized for EPUB3-compliant book readers, especially Apple's iBooks and browser plugins. These features may not work on all ebook readers. We organize things. We organize information, information about things, and information about information. Organizing is a fundamental issue in many professional fields, but these fields have only limited agreement in how they approach problems of organizing and in what they seek as their solutions. The Discipline of Organizing synthesizes insights from library science, information science, computer science, cognitive science, systems analysis, business, and other disciplines to create an Organizing System for understanding organizing. This framework is robust and forward-looking, enabling effective sharing of insights and design patterns between disciplines that weren’t possible before. Ideal as a textbook for undergraduates, the Core Concepts Edition includes new and revised content about the active resources of the “Internet of Things,” and how the field of Information Architecture can be viewed as a subset of the discipline of organizing. You’ll find: Stop and Think exercises designed to increase engagement and comprehension User-contributed case studies to help you with your own organizing problems Nearly 60 new pictures and illustrations Links to cross-references and external citations Interactive study guides to test on key points FOR INSTRUCTORS: Supplemental materials (lecture notes, assignments, exams, etc.) are available at http://disciplineoforganizing.org. FOR STUDENTS: Make sure this is the edition you want to buy. There's a newer one and maybe your instructor has adopted that one instead.
Author: Robert J. Glushko
Publisher: "O'Reilly Media, Inc."
ISBN: 1491997257
Category : Computers
Languages : en
Pages : 600
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Book Description
We organize things. We organize information, information about things, and information about information. Organizing is a fundamental issue in many professional fields, but these fields have only limited agreement in how they approach problems of organizing and in what they seek as their solutions. The Discipline of Organizing synthesizes insights from library science, information science, computer science, cognitive science, systems analysis, business, and other disciplines to create an Organizing System for understanding organizing. This framework is robust and forward-looking, enabling effective sharing of insights and design patterns between disciplines that weren't possible before. The 4th edition of this award-winning and widely adopted text adds content to bridge between the foundations of organizing systems and the new statistical and computational techniques of data science because at its core, data science is about how resources are described and organized. The 4th edition reframes descriptive statistics as organizing techniques, expands the treatment of classification to include computational methods, and incorporates many new examples of data-driven resource selection, organization, maintenance, and personalization. The Informatics edition contains all the new content related to data science, but omits the discipline-specific content about library science, museums, and document archives.
Author: Heinz J Giegerich
Publisher: Edinburgh University Press
ISBN: 147440815X
Category : Language Arts & Disciplines
Languages : en
Pages : 148
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Book Description
A monograph about structural entities originating in the lexicon - that is, about word structure - as well as about the structural characteristics of the lexicon as a module of formal grammar.
Author: Todd R Schachtman PhD
Publisher: Oxford University Press
ISBN: 0199876134
Category : Psychology
Languages : en
Pages : 588
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Book Description
Although many professionals in psychology (including the sub-disciplines of human learning and memory, clinical practice related to psychopathology, neuroscience, educational psychology and many other areas) no longer receive training in learning and conditioning, the influence of this field remains strong. Therefore, many researchers and clinicians have little knowledge about basic learning theory and its current applications beyond their own specific research topic. The primary purpose of the present volume is to highlight ways in which basic learning principles, methodology, and phenomena underpin, and indeed guide, contemporary translational research. With contributions from a distinguished collection of internationally renowned scholars, this 23-chapter volume contains specific research issues but is also broad in scope, covering a variety of topics in which associative learning and conditioning theory apply, such as drug abuse and addiction, anxiety, fear and pain research, advertising, attribution processes, acquisition of likes and dislikes, social learning, psychoneuroimmunology, and psychopathology (e.g., autism, depression, helplessness and schizophrenia). This breadth is captured in the titles of the three major sections of the book: Applications to Clinical Pathology; Applications to Health and Addiction; Applications to Cognition, Social Interaction and Motivation. The critically important phenomena and methodology of learning and conditioning continue to have a profound influence on theory and clinical concerns related to the mechanisms of memory, cognition, education, and pathology of emotional and consummatory disorders. This volume is expected to have the unique quality of serving the interests of many researchers, educators and clinicians including, for example, neuroscientists, learning and conditioning researchers, psychopharmacologists, clinical psychopathologists, and practitioners in the medical field.
