Portfolio Construction for Value Appreciation
Portfolio Construction for Value Appreciation作者机构：Financial Mathematics Programme Xi’an Jiaotong-Liverpool University Suzhou China Risk Strategy & Derivatives Asia Pacific Allianz Global Investors Hong Kong China Risk Management Department Huatai-Pinebridge Fund Management Co. Ltd. Shanghai China
出 版 物：《Journal of Applied Mathematics and Physics》 (应用数学与应用物理（英文）)
年 卷 期：2016年第4卷第4期
页 面：662-668页
学科分类：0202[经济学-应用经济学] 02[经济学] 020205[经济学-产业经济学]
主 题：Tracking Error Beta Valuation Exposure Monitoring Rebalance
摘 要：Background: While working as risk consultants at Barra in 1990’s, the first two authors decided to start collaborating on a research project with its first paper titled “Application of Volatility in Portfolio Construction [1]. The third author was then a risk manager of a financial institution which was a client of Barra’s. Bringing his expertise in portfolio risk management, he joined the research team. Aim: The core of this paper lies in the construction of an investment portfolio with a main objective of value appreciation while examining its tracking error [1]-[3], a risk measurement with reference to a benchmark [1] [4]. The authors believe, while tracking error measurement is a common tool for portfolio risk management, total risk measurement is more important. The management goal is to minimize drawbacks using the technique of risk budgeting. These topics will be discussed in future research papers.
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