[Returnanalytics-commits] r2013 - pkg/PortfolioAnalytics/sandbox/attribution

[noreply at r-forge.r-project.org]

Author: ababii
Date: 2012-06-14 12:49:01 +0200 (Thu, 14 Jun 2012)
New Revision: 2013

Modified:
   pkg/PortfolioAnalytics/sandbox/attribution/Carino.R
   pkg/PortfolioAnalytics/sandbox/attribution/Frongello.R
   pkg/PortfolioAnalytics/sandbox/attribution/Grap.R
   pkg/PortfolioAnalytics/sandbox/attribution/Menchero.R
Log:
- references update

Modified: pkg/PortfolioAnalytics/sandbox/attribution/Carino.R
===================================================================
--- pkg/PortfolioAnalytics/sandbox/attribution/Carino.R	2012-06-14 10:29:28 UTC (rev 2012)
+++ pkg/PortfolioAnalytics/sandbox/attribution/Carino.R	2012-06-14 10:49:01 UTC (rev 2013)
@@ -35,6 +35,9 @@
 #' 
 #' Bacon, C. \emph{Practical Portfolio Performance Measurement and
 #' Attribution}. Wiley. 2004. p. 191-193
+#' 
+#' Carino, D. (1999) \emph{Combining attribution effects over time}.
+#' The Journal of Performance Measurement. Summer, 5–14.
 #' @keywords arithmetic attribution, Carino linking, logarithmic linking
 #' @examples
 #' 

Modified: pkg/PortfolioAnalytics/sandbox/attribution/Frongello.R
===================================================================
--- pkg/PortfolioAnalytics/sandbox/attribution/Frongello.R	2012-06-14 10:29:28 UTC (rev 2012)
+++ pkg/PortfolioAnalytics/sandbox/attribution/Frongello.R	2012-06-14 10:49:01 UTC (rev 2013)
@@ -31,6 +31,9 @@
 #' 
 #' Bacon, C. \emph{Practical Portfolio Performance Measurement and
 #' Attribution}. Wiley. 2004. p. 199-201
+#' 
+#' Frongello, A. (2002) \emph{Linking single period attribution results}.
+#' Journal of Performance Measurement. Spring, 10–22.
 #' @keywords attribution, Frongello linking
 #' @examples
 #' 

Modified: pkg/PortfolioAnalytics/sandbox/attribution/Grap.R
===================================================================
--- pkg/PortfolioAnalytics/sandbox/attribution/Grap.R	2012-06-14 10:29:28 UTC (rev 2012)
+++ pkg/PortfolioAnalytics/sandbox/attribution/Grap.R	2012-06-14 10:49:01 UTC (rev 2013)
@@ -19,7 +19,6 @@
 #' of adjusted attribution effects: 
 #' \deqn{r - b = \overset{n}{\underset{t=1}{\sum}}\left(Allocation_{t}+Selection_{t}+Interaction_{t}\right)}
 #'
-#'
 #' @aliases Grap
 #' @param rp xts of portfolio returns
 #' @param rb xts of benchmark returns
@@ -30,6 +29,9 @@
 #' \code{\link{Attribution.geometric}}
 #' @references Bacon, C. \emph{Practical Portfolio Performance Measurement and
 #' Attribution}. Wiley. 2004. p. 196-199
+#' 
+#' GRAP (Groupe de Recherche en Attribution de Performance) (1997) 
+#' \emph{Synthese des modeles d’attribution de performance}. Paris, Mars.
 #' @keywords attribution, GRAP linking
 #' @examples
 #' 

Modified: pkg/PortfolioAnalytics/sandbox/attribution/Menchero.R
===================================================================
--- pkg/PortfolioAnalytics/sandbox/attribution/Menchero.R	2012-06-14 10:29:28 UTC (rev 2012)
+++ pkg/PortfolioAnalytics/sandbox/attribution/Menchero.R	2012-06-14 10:49:01 UTC (rev 2013)
@@ -32,6 +32,9 @@
 #' \code{\link{Attribution.geometric}}
 #' @references Bacon, C. \emph{Practical Portfolio Performance Measurement and
 #' Attribution}. Wiley. 2004. p. 194-196
+#' 
+#' Menchero, J. (2000) \emph{An optimized approach to linking attribution 
+#' effects over time}.Journal of Performance Measurement. Fall, 36–42.
 #' @keywords arithmetic attribution, Menchero linking
 #' @examples
 #'