Active Portfolio Management Problems with Multiple Weights Constraints

2011 ◽  
Author(s):  
Ai-fan Ling
Keyword(s):  
Portfolio Management ◽  
Active Portfolio Management ◽  
Multiple Weights ◽  
Management Problems

scholarly journals A Numerical Study for Robust Active Portfolio Management with Worst-Case Downside Risk Measure

2014 ◽  
Vol 2014 ◽  
pp. 1-13
Author(s):  
Aifan Ling ◽  
Le Tang
Keyword(s):  
Portfolio Management ◽  
Numerical Study ◽  
Risk Measure ◽  
Tracking Error ◽  
Downside Risk ◽  
Worst Case ◽  
Active Portfolio Management ◽  
Multiple Weights ◽  
Real Market ◽  
Portfolio Selection Model

Recently, active portfolio management problems are paid close attention by many researchers due to the explosion of fund industries. We consider a numerical study of a robust active portfolio selection model with downside risk and multiple weights constraints in this paper. We compare the numerical performance of solutions with the classical mean-variance tracking error model and the naive1/Nportfolio strategy by real market data from China market and other markets. We find from the numerical results that the tested active models are more attractive and robust than the compared models.

Active portfolio management with benchmarking: A frontier based on alpha

2010 ◽  
Vol 34 (9) ◽  
pp. 2185-2197 ◽  
Author(s):  
Gordon J. Alexander ◽  
Alexandre M. Baptista
Keyword(s):  
Portfolio Management ◽  
Active Portfolio Management
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