کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5099414 | 1377006 | 2008 | 42 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Active portfolio management with benchmarking: Adding a value-at-risk constraint
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
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چکیده انگلیسی
We examine the impact of adding a value-at-risk (VaR) constraint to the problem of an active manager who seeks to outperform a benchmark while minimizing tracking error variance (TEV) by using the model of Roll [1992. A mean/variance analysis of tracking error. Journal of Portfolio Management 18, 13-22]. We obtain three main results. First, portfolios on the constrained mean-TEV boundary still exhibit three-fund separation, but the weights of the three funds when the constraint binds differ from those in Roll's model. Second, the constraint mitigates the problem that when an active manager seeks to outperform a benchmark using the mean-TEV model, he or she selects an inefficient portfolio. Finally, when short sales are disallowed, the extent to which the constraint reduces the optimal portfolio's efficiency loss can still be notable but is smaller than when short sales are allowed.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 32, Issue 3, March 2008, Pages 779-820
Journal: Journal of Economic Dynamics and Control - Volume 32, Issue 3, March 2008, Pages 779-820
نویسندگان
Gordon J. Alexander, Alexandre M. Baptista,