White papers/Case studies

The Mathematics of Returns-Based Style Analysis (Part 1) by Thomas Becker, Ph.D.

Date: 
Thu, 2002-08-08

One of the most frequently asked questions concerning the mathematics of StyleADVISOR is how exactly we calculate the style attribution coefficients which are displayed in the style map view, the asset allocation view, and the style table. The short answer to this question is very easy: We perform the returns-based style analysis that was invented by Stanford professor and Nobel laureate William F. Sharpe. In this article, I will explain the mathematics of Sharpe's algorithm.

Optimizing Portfolio Allocations Using Excess Returns

Date: 
Thu, 2002-08-08

We recently completed an analysis of a large defined contribution program. The plan sponsor wanted to use StyleADVISOR to make changes in the structure. The results may be helpful to you whether you are a plan sponsor, consultant or money manager.

The Mathematics of Returns-Based Style Analysis (Part 2) by Thomas Becker, Ph.D.

Date: 
Tue, 2003-03-25

One of the most frequently asked questions concerning the mathematics of StyleADVISOR is how exactly we calculate the style attribution coefficients which are displayed in the style map view, the asset allocation view, and the style table. The short answer to this question is very easy: We perform the returns-based style analysis that was invented by Stanford professor and Nobel laureate William F. Sharpe. In this article, I will explain the mathematics of Sharpe's algorithm.

The Black-Litterman Model by Thomas Becker, Ph.D.

Date: 
Tue, 2009-04-21

An Introduction for the Practitioner. This article explains the benefits of using the Black-Litterman model (BLM) in conjunction with the time-honored mean variance optimization (MVO). BLM provides a front end to the MVO method that addresses the two main issues practitioners have with it.

 
 

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