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- W211485983 abstract "Information ratio is defined as the ratio between excess return and the standard deviation from excess return. The denominator of IR, at least in the context of multi-factor risk model, is defined as the active exposure times the factor covariances times the transpose of the active exposure matrix. In this paper, a method of maximizing this ratio is introduced. By using scaling method for all dual-constraints of primal problems, it is possible to achieve strong optimality condition." @default.
- W211485983 created "2016-06-24" @default.
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- W211485983 date "2012-01-01" @default.
- W211485983 modified "2023-09-26" @default.
- W211485983 title "Maximizing Active Risk Adjusted Return" @default.
- W211485983 doi "https://doi.org/10.2139/ssrn.2545228" @default.
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