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- 9/19/15
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I was just wondering if there are risk attribution model that does not require the asset weights data. It appears that most risk attribution models do require asset weight data. I am looking for model that does not require the asset weight data;
I am trying to build the risk attribution model for MSCI ACWI, where the underlying assets are sectors and regions data. The model should assume that I do not know the weights for the sectors and regions.
Thank you!
I am trying to build the risk attribution model for MSCI ACWI, where the underlying assets are sectors and regions data. The model should assume that I do not know the weights for the sectors and regions.
Thank you!