Add to ORKGtextabstractWhen delegating an investment decisions to a professional manager, investors often anchor their mandate to a specific benchmark. The manager’s exposure to risk is controlled by means of a tracking error volatility constraint. It depends on market conditions whether this constraint is easily met or violated. Moreover, the performance of the portfolio depends on market conditions. In this paper we argue that these mandated portfolios should not only be evaluated relative to their benchmarks in order to appraise their performance. They should also be evaluated relative to the opportunity set of all portfolios that can be formed under the same mandate – the portfolio opportunity set. The distribution of performance values over the p...
We examine the impact of adding a value-at-risk (VaR) constraint to the problem of an active manager...
We propose a new multiple-benchmark tracking-error model for portfolio selection problem. The tracki...
The investment nous of active managers is judged on their ability to outperform specified benchmarks...
When delegating an investment decisions to a professional manager, investors often anchor their mand...
Maximising investment returns is the primary goal of asset management but managing and mitigating po...
Investors assign part of their funds to asset managers that are given the task of beating a benchmar...
MCom (Risk Management), North-West University, Potchefstroom Campus, 2019Active portfolio managers a...
This article explores the risk and return relationship of active portfolios subject to a constraint ...
In this paper we investigate the relation between statistical tracking error measures and asset allo...
In this article, we introduce a new measure for the marginal contribution of each view to the expect...
MCom (Risk Management), North-West University, Potchefstroom Campus, 2019Active portfolio managers a...
The risk management department usually imposes to asset managers a maximum value of the tracking err...
Maximising returns is often the primary goal of asset management but managing and mitigating portfo...
This paper studies models in which active portfolio managers optimize per-formance relative to a ben...
The book “Benchmark Tracking Portfolio Problems with Stochastic Ordering Constraints” analyzes the p...
We examine the impact of adding a value-at-risk (VaR) constraint to the problem of an active manager...
We propose a new multiple-benchmark tracking-error model for portfolio selection problem. The tracki...
The investment nous of active managers is judged on their ability to outperform specified benchmarks...
When delegating an investment decisions to a professional manager, investors often anchor their mand...
Maximising investment returns is the primary goal of asset management but managing and mitigating po...
Investors assign part of their funds to asset managers that are given the task of beating a benchmar...
MCom (Risk Management), North-West University, Potchefstroom Campus, 2019Active portfolio managers a...
This article explores the risk and return relationship of active portfolios subject to a constraint ...
In this paper we investigate the relation between statistical tracking error measures and asset allo...
In this article, we introduce a new measure for the marginal contribution of each view to the expect...
MCom (Risk Management), North-West University, Potchefstroom Campus, 2019Active portfolio managers a...
The risk management department usually imposes to asset managers a maximum value of the tracking err...
Maximising returns is often the primary goal of asset management but managing and mitigating portfo...
This paper studies models in which active portfolio managers optimize per-formance relative to a ben...
The book “Benchmark Tracking Portfolio Problems with Stochastic Ordering Constraints” analyzes the p...
We examine the impact of adding a value-at-risk (VaR) constraint to the problem of an active manager...
We propose a new multiple-benchmark tracking-error model for portfolio selection problem. The tracki...
The investment nous of active managers is judged on their ability to outperform specified benchmarks...