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Risk Management withBenchmarking Suleyman BasakAlex ShapiroLucie Teplá2006 год

Risk Management with Benchmarking
статья из журнала

Полный текстСтраница публикацииПубликация в OpenAlex
Аннотация: Portfolio theory must address the fact that, in reality, portfolio managers are evaluated relative to a benchmark, and therefore adopt risk management practices to account for the benchmark performance. We capture this risk management consideration by allowing a prespecified shortfall from a target benchmark-linked return, consistent with growing interest in such practice. In a dynamic setting, we demonstrate how a risk-averse portfolio manager optimally under- or overperforms a target benchmark under different economic conditions, depending on his attitude towards risk and choice of the benchmark. The analysis therefore illustrates how investors can achieve their desired performance profile for funds under management through an appropriate combined choice of the benchmark and money manager. We consider a variety of extensions, and also highlight the ability of our setting to shed some light on documented return patterns across segments of the money management industry.
Год издания: 2006
Авторы: Suleyman Basak, Alex Shapiro, Lucie Teplá
Издательство: Institute for Operations Research and the Management Sciences
Источник: Management Science
Ключевые слова: Financial Markets and Investment Strategies, Risk and Portfolio Optimization, Stochastic processes and financial applications
Другие ссылки: Management Science (HTML)
The Faculty Digital Archive (New York University) (PDF)
The Faculty Digital Archive (New York University) (HTML)
The Faculty Digital Archive (New York University) (PDF)
The Faculty Digital Archive (New York University) (HTML)
The Faculty Digital Archive (New York University) (PDF)
The Faculty Digital Archive (New York University) (HTML)
The Faculty Digital Archive (New York University) (PDF)
The Faculty Digital Archive (New York University) (HTML)
The Faculty Digital Archive (New York University) (PDF)
The Faculty Digital Archive (New York University) (HTML)