Add to ORKGThis article explores the risk and return relationship of active portfolios subject to a constraint on tracking-error volatility (TEV), which can also be interpreted in terms of value at risk. Such a constrained portfolio is the typical setup for active managers who are given the task of beating a benchmark. The problem with this setup is that the portfolio manager pays no attention to total portfolio risk, which results in seriously inefficient portfolios unless some additional constraints are imposed. The development in this article shows that TEV-constrained portfolios are described by an ellipse on the traditional mean–variance plane. This finding yields a number of new insights. Because of the flat shape of this ellipse, adding a const...
Asset managers are often given the task of restricting their activity by keeping both the value at r...
Investors assign part of their funds to asset managers that are given the task of beating a benchmar...
Maximising returns is often the primary goal of asset management but managing and mitigating portfo...
MCom (Risk Management), North-West University, Potchefstroom Campus, 2019Active portfolio managers a...
MCom (Risk Management), North-West University, Potchefstroom Campus, 2019Active portfolio managers a...
We examine the impact of adding a value-at-risk (VaR) constraint to the problem of an active manager...
The paper aims to clarify the relationship between risk management constraints and portfolio efficie...
Maximising investment returns is the primary goal of asset management but managing and mitigating po...
Many investors assign part of their funds to asset managers of mutual funds who are given the task o...
It is well known that investors usually assign part of their funds to asset managers who are given t...
It is well known that investors usually assign part of their funds to asset managers who are given t...
This article investigates the risk-return relationship of managed portfolios when two risk indicator...
Asset managers are often given the task of restricting their activity by keeping both the value at r...
Recent (2018) evidence identifies the increased need for active managers to facilitate the exploitat...
The investment nous of active managers is judged on their ability to outperform specified benchmarks...
Asset managers are often given the task of restricting their activity by keeping both the value at r...
Investors assign part of their funds to asset managers that are given the task of beating a benchmar...
Maximising returns is often the primary goal of asset management but managing and mitigating portfo...
MCom (Risk Management), North-West University, Potchefstroom Campus, 2019Active portfolio managers a...
MCom (Risk Management), North-West University, Potchefstroom Campus, 2019Active portfolio managers a...
We examine the impact of adding a value-at-risk (VaR) constraint to the problem of an active manager...
The paper aims to clarify the relationship between risk management constraints and portfolio efficie...
Maximising investment returns is the primary goal of asset management but managing and mitigating po...
Many investors assign part of their funds to asset managers of mutual funds who are given the task o...
It is well known that investors usually assign part of their funds to asset managers who are given t...
It is well known that investors usually assign part of their funds to asset managers who are given t...
This article investigates the risk-return relationship of managed portfolios when two risk indicator...
Asset managers are often given the task of restricting their activity by keeping both the value at r...
Recent (2018) evidence identifies the increased need for active managers to facilitate the exploitat...
The investment nous of active managers is judged on their ability to outperform specified benchmarks...
Asset managers are often given the task of restricting their activity by keeping both the value at r...
Investors assign part of their funds to asset managers that are given the task of beating a benchmar...
Maximising returns is often the primary goal of asset management but managing and mitigating portfo...