Efficiency implementation in the construction of active portfolios: an assessment through the...

Registro bibliográfico

  • Título: Efficiency implementation in the construction of active portfolios: an assessment through the fundamental law of active management
  • Autor: Pulga Vivas, Fredy Alexánder
  • Publicación original: 2012
  • Descripción física: PDF
  • Nota general:
    • 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. 
  • Notas de reproducción original: Digitalización realizada por la Biblioteca Virtual del Banco de la República (Colombia)
  • Notas:
    • Resumen: 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
    • © Derechos reservados del autor
    • Colfuturo
  • Forma/género: tesis
  • Idioma: inglés
  • Institución origen: Biblioteca Virtual del Banco de la República
  • Encabezamiento de materia:

Web semántica