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ID:39779326
大小:432.90 KB
页数:19页
时间:2019-07-11
《Portfolio Constraints and Active Mgt》由会员上传分享,免费在线阅读,更多相关内容在学术论文-天天文库。
1、PortfolioConstraintsandtheFundamentalLawofActiveManagementRogerClarke,HarindradeSilva,andStevenThorleyActiveportfoliomanagementistypicallyconductedwithinconstraintsthatdonotallowmanagerstofullyexploittheirabilitytoforecastreturns.Constraintsonshortpositio
2、nsandturnover,forexample,arefairlycommonandmateriallyrestrictive.Otherconstraints,suchasmarket-capitalizationandvalue–growthneutralitywithrespecttothebenchmarkoreconomic-sectorconstraints,canfurtherrestrictanactiveportfolio’scomposition.Wederiveexanteande
3、xpostcorrelationrelationshipsthatfacilitatetheperformanceanalysisofconstrainedportfolios.Theexanterelationshipisageneralizedversionofapreviouslydeveloped“fundamentallawofactivemanagement”andprovidesanimportantstrategicperspectiveonthepotentialforactiveman
4、agementtoaddvalue.Theexpostcorrelationrelationshiprepresentsapracticaldecompositionofperformanceintothesuccessofthereturn-predictionprocessandthe“noise”associatedwithportfolioconstraints.WeverifytheaccuracyoftheserelationshipswithaMonteCarlosimulationandi
5、llustratetheirapplicationwithequityportfolioexamplesbasedontheS&P500Indexasthebenchmark.ostportfoliomanagersappreciatetheTerminologyandNotationfactthatvalueaddedultimatelyThediscussionwillfocusonresidualsecuritydependsontheirabilitytocorrectlyMreturns,ri,
6、theportionofsecurityi’stotalreturnthatforecastsecurityreturns.Managersisuncorrelatedwiththebenchmarkportfolio.Fore-workhardtocreatevaluableinformationaboutcastedresidualsecurityreturns,αi,aretheportfoliofuturereturnsbutmaynotpayasmuchattentionmanager’sfor
7、ecastofriforeachofthei=1toNtolimitationsintheportfolioconstructionprocess.securitiesintheportfolio.OurfocusontheresidualConstraintssuchasnoshortsales,industrylimita-portionofsecurityreturns(bothforecastedandtions,andrestrictionsoninvestmentstyleorturn-rea
8、lized)ismotivatedbyanadjustmentfornon-over—alllimitamanager’sabilitytotransferunitybetasinmanagedportfolios,asexplainedinvaluableinformationintoportfoliopositions.WeAppendixA,“FrameworkandNotation.”Wealsointroduceac
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