Efficiency implementation in the construction of active portfolios: an assessment through the fundamental law of active management
Manifestación
- Autores
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- Autor: Pulga Vivas, Fredy Alexánder
- Identificador
- 865368
- Fecha de publicación
- 2012
- Forma obra
- Tesis
- Lugar de producción
- 2012
- Idioma
- inglés
- Nota de edición
- Digitalización realizada por la Biblioteca Virtual del Banco de la República (Colombia)
- Materias
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- Tecnología; Tecnología / Gerencia y servicios auxiliares
- Notas
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- Colfuturo
- © Derechos reservados del autor
- Active portfolio management aims to deliver superior returns through using an extensive analysis of securities in order to identify mispriced stocks and estimate alphas. Moreover, an active strategy relies on the capability of the active manager to transform his/her forecasting skills into an active portfolio.
This thesis assesses the effects of investment constraints in the ex ante capabilities of an active manager to construct portfolios through the fundamental law of active management, and provides evidence on the efficiency loss of the manager in presence of such constraints through a Monte Carlo simulation. - Active investment management; Active return; Active risk; Administración activa de portafolios de inversión; Breadth; Coeficiente de información; Coeficiente de transferencia; Envergadura; Information coefficient; Information ratio; Investment constraints; Ratio de información; Restricciones de inversión; Retorno activo; Riesgo activo; Transfer coefficient
- Enlace permanente
- https://www.cervantesvirtual.com/obra/efficiency-implementation-in-the-construction-of-active-portfolios-an-assessment-through-the-fundamental-law-of-active-management-865368
- Enlaces