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 R.A. Haugen, N.L. Baker. Dedicated Stock Portfolios. The Journal of Portfolio Mangement, 1990, 16(4): 17-22.

S.D. Hodges. Problems in the application of portfolio selection models. Omega,1976, 4 :699-709.

Cornell, Bradford, and Kenneth R. French. The Pricing of Stock Index Futures. The Journal of Futures Markets, 1983, 3: 1-14

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关键词：Application Portfolios Portfolio mangement Selection 求助

2 320699.pdf (642.11 KB)

2009-4-30 23:48:00 上传

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3 320700.pdf (769.33 KB)

2009-4-30 23:49:00 上传

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1之摘要：

This article focuses on dedicated stock portfolios. Index models have become popular techniques for tracking targets, especially for equity portfolios. To track with an index model, one needs to identify the factor structure, estimate factor betas, and then construct a portfolio with minimum idiosyncratic variance subject to the constraint that the factor betas are equal to those of the target. If the factor structure has been misspecified, portfolios will exist that have superior tracking power in the estimation period. The Markowitz model can also be used to track targets. It can find the unique portfolio that maximizes correlation with the target, minimize volatility in the difference between their returns and the target's, or minimize volatility in residual return, giving their target beta. No factor structure need be estimated with the Markowitz model, and the solution portfolios have the greatest tracking power in the estimation period.

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