{"paper":{"title":"A sharp order-three obstruction to the aggregation of conditional price-of-risk attribution","license":"http://creativecommons.org/licenses/by-nc-nd/4.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.PM","authors_text":"Alejandro Rodriguez Dominguez","submitted_at":"2026-06-25T10:20:42Z","abstract_excerpt":"We study the squared price-of-risk premium of a portfolio -- an integrated conditional squared Sharpe-ratio functional, not an expected excess return -- and its attribution to causal drivers. Relative to a declared admissible benchmark it decomposes into intervention-stable premium, a signed causal distortion (the confounding wedge), and a nonnegative information loss; the loss is an $L^2$ projection residual, the wedge is not. The decomposition is well posed exactly when the driver filtration is immersed in the price filtration. It need not aggregate across portfolios pooling drivers: we iden"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2606.26835","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2606.26835/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}