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• W2025481277 abstract "Active portfolio management often involves the objective of selecting a portfolio with minimum tracking error variance (TEV) for some expected gain in return over a benchmark. However, Roll (1992) shows that such portfolios are generally suboptimal because they do not belong to the mean-variance frontier and are thus overly risky. Our paper proposes an appealing method to lessen this suboptimality that involves the objective of selecting a portfolio from the set of portfolios that have minimum TEV for various levels of ex-ante alpha, which we refer to as the alpha-TEV frontier. Since practitioners commonly use ex-post alpha to assess the performance of managers, the use of this frontier aligns the objectives of managers with how their performance is evaluated. Furthermore, sensible choices of ex-ante alpha lead to the selection of portfolios that are less risky (in variance terms) than the portfolios that active managers would otherwise select." @default.
• W2025481277 created "2016-06-24" @default.
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• W2025481277 date "2010-09-01" @default.
• W2025481277 modified "2023-10-16" @default.
• W2025481277 title "Active portfolio management with benchmarking: A frontier based on alpha" @default.
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• W2025481277 doi "https://doi.org/10.1016/j.jbankfin.2010.02.005" @default.
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