Portfolio optimization under transfer coefficient constraint

Rei Yamamoto, Takuya Ishibashi, Hiroshi Konno

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

This article is concerned with a portfolio optimization problem subject to a transfer coefficient constraint, which is intended to generate an enhanced index portfolio with a good ex-post performance. We will show that a standard mean-tracking error model with transfer coefficient constraint can be formulated as a convex minimization problem, which can be solved by a standard optimization software. Also we will show that the transfer coefficient constraint plays an essential role for constructing an enhanced index fund with a good ex-post performance using real stock data in Tokyo Stock Exchange.

Original languageEnglish
Pages (from-to)51-57
Number of pages7
JournalJournal of Asset Management
Volume13
Issue number1
DOIs
Publication statusPublished - 2012 Feb 1
Externally publishedYes

Keywords

  • convex programming
  • enhanced index fund
  • fundamental law of active management
  • portfolio optimization
  • transfer coefficient

ASJC Scopus subject areas

  • Business and International Management
  • Strategy and Management
  • Information Systems and Management

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