出版社：LLC “Consulting Publishing Company “Business Perspectives”
摘要：Recent(2018)evidence identifies the increased need for active managers to facilitate the exploitation of investment opportunities found in inefficient markets.Typically,active portfolios are subject to tracking error(TE)constraints.The risk-return relation?ship of such constrained portfolios is described by an ellipse in mean-variance space, known as the constant TE frontier.Although previous work assessed the performance of active portfolio strategies on the efficient frontier,this article uses several perfor?mance indicators to evaluate the outperformance of six active portfolio strategies over the benchmark – subject to various TE constraints – on the constant TE frontier.
