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Article

Constraint Attribution

Robert A. Stubbs and Dieter Vandenbussche
The Journal of Portfolio Management Summer 2010, 36 (4) 48-59; DOI: https://doi.org/10.3905/jpm.2010.36.4.048
Robert A. Stubbs
is a vice president in Research at Axioma, Inc., in Atlanta, GA.
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  • For correspondence: rstubbs@axiomainc.com
Dieter Vandenbussche
is a senior research associate at Axioma, Inc., in Atlanta, GA.
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  • For correspondence: dvandenbussche@axiomainc.com
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Abstract

Constraints are now an integral part of the portfolio construction process.With constraints comes the challenge of understanding how they cause the optimal portfolio to deviate from a trade-off dictated by the forecasts of risk and return. Stubbs and Vandenbussche describe the theory and application of a technique that is able to quantify the impact of individual constraints in several different ways, including decomposing the difference between the optimal constrained and unconstrained portfolios as well as the difference between alphas and implied alphas as described in earlier work by Grinold and others. The authors also introduce a new technique that applies these decompositions on an ex post basis, thus providing an understanding of how constraints actually impact realized risk and return.

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The Journal of Portfolio Management: 36 (4)
The Journal of Portfolio Management
Vol. 36, Issue 4
Summer 2010
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Constraint Attribution
Robert A. Stubbs, Dieter Vandenbussche
The Journal of Portfolio Management Jul 2010, 36 (4) 48-59; DOI: 10.3905/jpm.2010.36.4.048

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Constraint Attribution
Robert A. Stubbs, Dieter Vandenbussche
The Journal of Portfolio Management Jul 2010, 36 (4) 48-59; DOI: 10.3905/jpm.2010.36.4.048
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  • Article
    • Abstract
    • IMPLIED ALPHA DECOMPOSITION
    • HOLDINGS DECOMPOSITION
    • EXPECTED RETURN DECOMPOSITION
    • MATHEMATICAL DETAILS
    • EX POST CONSTRAINT ATTRIBUTION
    • CONCLUSION
    • ENDNOTES
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