{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,3,18]],"date-time":"2026-03-18T10:59:57Z","timestamp":1773831597731,"version":"3.50.1"},"reference-count":66,"publisher":"Institute for Operations Research and the Management Sciences (INFORMS)","issue":"9","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Management Science"],"published-print":{"date-parts":[[2025,9]]},"abstract":"<jats:p> We propose a new performance attribution framework that decomposes a constrained portfolio\u2019s holdings, expected returns, variance, expected utility, and realized returns into components attributable to (1) the unconstrained mean-variance optimal portfolio; (2) individual static constraints; and (3) information, if any, arising from those constraints. A key contribution of our framework is the recognition that constraints may contain information that is correlated with returns, in which case imposing such constraints can affect performance. We extend our framework to accommodate estimation risk in portfolio construction using Bayesian portfolio analysis, which allows one to select constraints that improve\u2014or are least detrimental to\u2014future performance. We provide simulations and empirical examples involving constraints on environmental, social, and governance portfolios. Under certain scenarios, constraints may improve portfolio performance relative to a passive benchmark that does not account for the information contained in these constraints. <\/jats:p><jats:p> This paper was accepted by Kay Giesecke, finance. <\/jats:p><jats:p> Funding: Research funding from the National Key Research and Development Program of China [Grant 2022YFA1007900], the National Natural Science Foundation of China [Grants 12271013, 72342004], Peking University\u2019s Fundamental Research Funds for the Central Universities, and the MIT Laboratory for Financial Engineering is gratefully acknowledged. <\/jats:p><jats:p> Supplemental Material: The online appendix and data files are available at https:\/\/doi.org\/10.1287\/mnsc.2024.05365 . <\/jats:p>","DOI":"10.1287\/mnsc.2024.05365","type":"journal-article","created":{"date-parts":[[2024,12,23]],"date-time":"2024-12-23T08:27:43Z","timestamp":1734942463000},"page":"7537-7559","source":"Crossref","is-referenced-by-count":1,"title":["Performance Attribution for Portfolio Constraints"],"prefix":"10.1287","volume":"71","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-2944-7773","authenticated-orcid":false,"given":"Andrew W.","family":"Lo","sequence":"first","affiliation":[{"name":"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"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-7670-8393","authenticated-orcid":false,"given":"Ruixun","family":"Zhang","sequence":"additional","affiliation":[{"name":"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"}]}],"member":"109","reference":[{"key":"B1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2015.41.4.068"},{"key":"B2","doi-asserted-by":"publisher","DOI":"10.1146\/annurev-financial-120209-133947"},{"key":"B3","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfac033"},{"key":"B4","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2024.50.8.216"},{"key":"B5","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v48.n5.28"},{"key":"B6","doi-asserted-by":"publisher","DOI":"10.1287\/opre.1080.0599"},{"key":"B7","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp003"},{"key":"B8","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v42.n4.39"},{"key":"B9","doi-asserted-by":"publisher","DOI":"10.1007\/BF02282040"},{"key":"B10","doi-asserted-by":"publisher","DOI":"10.1073\/pnas.0904287106"},{"key":"B11","doi-asserted-by":"publisher","DOI":"10.1080\/03610917808812081"},{"key":"B12","doi-asserted-by":"publisher","DOI":"10.1057\/palgrave.jam.2240207"},{"key":"B13","doi-asserted-by":"publisher","DOI":"10.1109\/TSP.2010.2053029"},{"key":"B14","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1993.409440"},{"key":"B15","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v58.n5.2468"},{"key":"B16","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2008.01420.x"},{"key":"B17","first-page":"295","volume":"45","author":"David H","year":"1973","journal-title":"Bull. Internat. Statist. Inst."},{"key":"B18","doi-asserted-by":"publisher","DOI":"10.1023\/A:1022384216930"},{"key":"B19","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm075"},{"key":"B20","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1080.0986"},{"key":"B21","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb04963.x"},{"key":"B22","doi-asserted-by":"publisher","DOI":"10.1007\/s10479-009-0515-6"},{"key":"B23","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1972.tb00984.x"},{"key":"B24","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2014.10.010"},{"key":"B25","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.2012.656041"},{"key":"B26","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.2012.682825"},{"key":"B27","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4899-2937-2"},{"key":"B28","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00351"},{"key":"B29","doi-asserted-by":"publisher","DOI":"10.2307\/2331043"},{"key":"B31","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v61.n5.2756"},{"key":"B32","doi-asserted-by":"publisher","DOI":"10.1080\/14697681003756877"},{"key":"B33","doi-asserted-by":"publisher","DOI":"10.1093\/rapstu\/rar002"},{"key":"B34","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.05.006"},{"key":"B35","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2011.12.002"},{"key":"B36","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.01.006"},{"key":"B37","first-page":"439","volume-title":"The Oxford Handbook of Bayesian Econometrics","author":"Jacquier E","year":"2011"},{"key":"B38","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00580"},{"key":"B39","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.2007.00327.x"},{"key":"B40","doi-asserted-by":"publisher","DOI":"10.2307\/2331042"},{"issue":"9","key":"B41","first-page":"6117","volume":"70","author":"Kan R","year":"2023","journal-title":"Management Sci."},{"key":"B42","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109000004129"},{"key":"B43","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2021.3989"},{"key":"B44","doi-asserted-by":"publisher","DOI":"10.2308\/accr-51383"},{"key":"B45","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90004-0"},{"issue":"2","key":"B46","first-page":"798","volume":"5","author":"Lai TL","year":"2011","journal-title":"Ann. Appl. Statist."},{"key":"B47","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2013.04.019"},{"key":"B48","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12505"},{"key":"B49","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.3.431"},{"key":"B50","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2022.01168"},{"key":"B51","doi-asserted-by":"publisher","DOI":"10.3905\/jesg.2022.1.062"},{"key":"B52","doi-asserted-by":"publisher","DOI":"10.1287\/opre.2023.0400"},{"key":"B54","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2011.37.2.097"},{"key":"B55","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(80)90007-0"},{"key":"B56","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00204"},{"key":"B57","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(00)00044-1"},{"key":"B58","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2020.12.011"},{"key":"B59","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2022.07.007"},{"key":"B60","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2020.11.001"},{"key":"B61","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2018.07.014"},{"key":"B62","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1992.409394"},{"key":"B63","doi-asserted-by":"publisher","DOI":"10.2307\/1884852"},{"key":"B64","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(97)00020-2"},{"key":"B65","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2010.36.4.048"},{"key":"B66","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109010000335"},{"key":"B67","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2010.08.013"},{"key":"B68","doi-asserted-by":"publisher","DOI":"10.3905\/JPM.2009.36.1.036"}],"container-title":["Management Science"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/pubsonline.informs.org\/doi\/pdf\/10.1287\/mnsc.2024.05365","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,9,19]],"date-time":"2025-09-19T08:24:44Z","timestamp":1758270284000},"score":1,"resource":{"primary":{"URL":"https:\/\/pubsonline.informs.org\/doi\/10.1287\/mnsc.2024.05365"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2025,9]]},"references-count":66,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2025,9]]}},"alternative-id":["10.1287\/mnsc.2024.05365"],"URL":"https:\/\/doi.org\/10.1287\/mnsc.2024.05365","relation":{},"ISSN":["0025-1909","1526-5501"],"issn-type":[{"value":"0025-1909","type":"print"},{"value":"1526-5501","type":"electronic"}],"subject":[],"published":{"date-parts":[[2025,9]]}}}