Abstract
The authors describe a method for selecting portfolios of managers or mutual funds to implement a target asset allocation. The goal is to maximize alpha for each level of tracking error. This routine is designed to meet manager–imposed minimum investment requirements by using discrete optimization techniques. A step–by–step example illustrates the practical use of the methods that the authors develop.
- © 2000 Pageant Media Ltd
Don’t have access? Register today to begin unrestricted access to our database of research.