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| Tekijä: | Guasoni, P. Huberman, G. Wang, Z. |
| Otsikko: | Performance maximization of actively managed funds |
| Lehti: | Journal of Financial Economics
2011 : SEP, VOL.101:3, p. 574-595 |
| Asiasana: | funds performance management appraisal markets error estimation |
| Vapaa asiasana: | Alpha sharpe ratio buy-write maximization exposure-switching strategies |
| Kieli: | eng |
| Tiivistelmä: | This article derives the performance-maximizing strategy, which turns out to be a variant of a buy-write strategy, and the least upper bound on such performance enhancement. If common equity indices are used as benchmarks, the potential alpha generated from trading frequently can be substantial in magnitude, but it carries considerable risk. The performance-maximizing strategy derived in this paper is different from the strategies that switch portfolio exposure to the benchmarks. The exposure-switching strategies are not promising unless the switching is based on superior information. |
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