Active portfolio management with benchmarking: A frontier based on alpha
Active portfolio management with benchmarking: A frontier based on alpha
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DOI：
10.1016/j.jbankfin.2010.02.005
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发表时间：
2010-09-01
影响因子：
3.7
通讯作者：
Baptista, Alexandre M.
中科院分区：
文献类型：
--
作者：
Alexander, Gordon J.;Baptista, Alexandre M.
主动投资组合管理通常涉及选择具有最小跟踪误差方差（TEV）的投资组合的目标，以获得超过基准的预期回报收益。然而，Roll（1992）表明，此类投资组合通常不是最优的，因为它们不属于均值-方差边界，因此风险过高。我们的论文提出了一种吸引人的方法来减少这种次优性，该方法的目标是从一组投资组合中选择一个投资组合，该投资组合对于各种事前 alpha 水平具有最小 TEV，我们将其称为 alpha-TEV 前沿。由于从业者通常使用事后阿尔法来评估管理者的绩效，因此该边界的使用使管理者的目标与其绩效评估方式保持一致。此外，事前阿尔法的明智选择会导致选择比主动型基金经理选择的投资组合风险更小的投资组合（以方差计算）。 (C) 2010 Elsevier B.V. 保留所有权利。
Active portfolio management often involves the objective of selecting a portfolio with minimum tracking error variance (TEV) for some expected gain in return over a benchmark. However, Roll (1992) shows that such portfolios are generally suboptimal because they do not belong to the mean-variance frontier and are thus overly risky. Our paper proposes an appealing method to lessen this suboptimality that involves the objective of selecting a portfolio from the set of portfolios that have minimum TEV for various levels of ex-ante alpha, which we refer to as the alpha-TEV frontier. Since practitioners commonly use ex-post alpha to assess the performance of managers, the use of this frontier aligns the objectives of managers with how their performance is evaluated. Furthermore, sensible choices of ex-ante alpha lead to the selection of portfolios that are less risky (in variance terms) than the portfolios that active managers would otherwise select. (C) 2010 Elsevier B.V. All rights reserved.