RT Journal Article
SR Electronic
T1 Active Portfolio Management with Conditioning Information
JF The Journal of Investing
FD Institutional Investor Journals
SP joi.2019.1.077
DO 10.3905/joi.2019.1.077
A1 Masashi Ieda
A1 Naoki Fujino
A1 Hiroshi Sasaki
YR 2019
UL https://pm-research.com/content/early/2019/03/01/joi.2019.1.077.abstract
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.