Performance Attribution for Portfolio Constraints

• Andrew W. Lo

  Andrew W. Lo

  [email protected]

  https://orcid.org/0000-0003-2944-7773

  Sloan School of Management, Laboratory for Financial Engineering, and Computer Science and Artificial Intelligence Laboratory, Massachusetts Institute of Technology, Cambridge, Massachusetts 02139; and Santa Fe Institute, Santa Fe, New Mexico 87501

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  ,
• Ruixun Zhang

  Corresponding Author

  Ruixun Zhang

  [email protected]

  https://orcid.org/0000-0002-7670-8393

  School of Mathematical Sciences, Center for Statistical Science, National Engineering Laboratory for Big Data Analysis and Applications, and Laboratory for Mathematical Economics and Quantitative Finance, Peking University, Beijing 100871, China

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