TY - JOUR T1 - The Description of Portfolios JF - The Journal of Portfolio Management SP - 15 LP - 30 DO - 10.3905/jpm.2011.37.2.015 VL - 37 IS - 2 AU - Richard Grinold Y1 - 2011/01/31 UR - https://pm-research.com/content/37/2/15.abstract N2 - Grinold provides a general framework for the description of various aspects of a portfolio using a set of factors. The work is cousin to the well-worn topic of performance analysis and attribution, and in that sense, is fairly represented as being old wine in new bottles—the scope is much more general, however. Grinold first provides a theoretical structure with a model that describes various aspects of a portfolio as either the allocation of a portfolio’s variance or as the covariance of two portfolios. He takes a portfolio-centric approach and explains all of the results in terms of the risk and correlation of portfolios. The expanded framework and portfolio focus opens up a wide range of problems that can be studied with the same framework. Grinold uses examples to illustrate what the methodology can accomplish and as a guide to sense when we are asking too much from the model.TOPICS: Portfolio construction, portfolio theory, factor-based models ER -