PT  - JOURNAL ARTICLE
AU  - Masashi Ieda
AU  - Naoki Fujino
AU  - Hiroshi Sasaki
TI  - Active Portfolio Management with Conditioning Information
AID  - 10.3905/joi.2019.1.077
DP  - 2019 Mar 01
TA  - The Journal of Investing
PG  - joi.2019.1.077
4099  - https://pm-research.com/content/early/2019/03/01/joi.2019.1.077.short
4100  - https://pm-research.com/content/early/2019/03/01/joi.2019.1.077.full
AB  - In this article, the authors propose an efficient and practical portfolio management methodology in which portfolio weights are determined by several market observations. Their method is based on the managed portfolio construction technique, which makes it tractable for fund managers. The key points of this work are as follows: (i) to impose constraints on active weights against the prespecified benchmark weights, and (ii) to show empirically that the constraints stabilize and improve portfolio performance by conducting backtests.