Title: A Dynamic Model of Portfolio Choice with Benchmark Orientation
Abstract: Professional fund managers' goals are often hope that their portfolios to stable performance can go beyond a certain benchmark asset or portfolio.So in this paper,we give a dynamic mean-variance considering benchmark asset portfolio selection model.Assumes that the state transfer between follow markov process,a given state transition matrix,can get analytic expressions of the optimal risk assets.This expression shows that investment in risky assets is composed of three,the first two benchmark is not consider assets for risky assets into,when the last item related to benchmark asset.On the baseline assets are weighted by benchmark yields to decide the size of the assets,has nothing to do with the degree of risk aversion of the active portfolio managers.With the increase of degree of risk aversion,risk managers will reduce the asset to hurt.Portfolios of numerical analysis shows that considering the benchmark portfolio is a positive.
Publication Year: 2013
Publication Date: 2013-01-01
Language: en
Type: article
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