analisi della performance di un portafoglio ... - Marco Marchioro

BIBLIOGRAFIA
Bacon C.R. – Excess returns – arithmetic or geometric – Journal of
Performance Measurement (2002).
Bacon C.R. – Practical portfolio performance measurement and
attribution – Wiley Finance (2004).
Brinson G., Fachler N. – Measuring non-US equity portfolio performance
– Journal of Portfolio Management (1985).
Brinson G., Hood R., Beebower G. – Determinants of portfolio
performance – Financial Analysts Journal (1986).
Brinson G., Singer B., Beebower, G. – Determinants of portfolio
performance II: an update – Financial Analysts Journal (1991).
Burnie J.S., Knowles J.A., Teder T.J. – Arithmetic and geometric
attribution – Journal of Performance Measurement (1998).
Cariño D. – Combining attribution effects over time – Journal of
Performance Measurement (1999).
CME – www.cmegroup.com – CME Group.
Colin A. – Fixed income attribution – Wiley Finance (2005).
Cox J.C., Ingersoll J.E., Ross S.A. – The relation between forward prices
and futures prices – Journal of Financial Economics (1981).
Dietz P.O. – Pension fund investment performance – What method to use
when – Financial Analyst Journal (1966).
Duffie D. – Futures markets – Prentice Hall (1989).
Frongello A. – Linking single period attribution results – Journal of
Performance Measurement (2002).
Geman H. – Commodities and commodity derivatives – Wiley Finance
(2005).
GRAP – Synthèse des modèles d’attribution de performance – Groupe de
Recherche en Attribution de Performance (1997).
Hull J.C. – Options, futures and other derivatives (6 th edition) – Prentice
Hall (2000).
Laker D. – What is this thing called interaction? – Journal of Performance
Measurement (2000).
Marchioro M. – Convenience yield scenarios for commodities – StatPro
Quantitative Research Series (2011).
Marchioro M. – Pricing simple interest-rate derivatives – StatPro
Quantitative Research Series (2008).
Marchioro M. – Sensitivities for fixed-income attribution – StatPro
Quantitative Research Series (2011).
109