A Two-Layer Attribution Framework for Portfolios Built from Mixed-Asset Products
A two-layer attribution framework separating product-wrapper and underlying asset-class effects in mixed-product institutional portfolios.
Drift Minimization under Lot-Size Constraints: A Practical Integer-Share Rebalancing Problem in Robo-Advisory
Integer-share rebalancing under lot-size constraints in robo-advisory; drift minimisation formulation and scalable heuristics with approximation analysis.
Defining and Measuring Portfolio Health: A Drift-Based Metric Relative to Model Portfolios
A drift-based portfolio health metric measuring misalignment from model portfolios; applications to rebalancing triggers in automated wealth management.