In this paper we propose a new measure for the marginal contribution of each view to the ex-ante tracking error volatility (TEV). The issue of the TEV sensitivity to the views is relevant for several purposes: 1. provide the asset managers with a method for revising the portfolio consistently with a given TEV constraint; 2. Make the specialists responsible for the generation process of the views; 3. set a mechanism to connect the incentive fees not only to the excess return but also to the marginal contribution of each view to the TEV. We provide also an empirical investigation in the Black-Litterman framework in order to modify the views to achieve a TEV goal.

TEV sensitivity to views in black-litterman model

BRAGA, MARIA DEBORA;NATALE, FRANCESCO PAOLO
2008

Abstract

In this paper we propose a new measure for the marginal contribution of each view to the ex-ante tracking error volatility (TEV). The issue of the TEV sensitivity to the views is relevant for several purposes: 1. provide the asset managers with a method for revising the portfolio consistently with a given TEV constraint; 2. Make the specialists responsible for the generation process of the views; 3. set a mechanism to connect the incentive fees not only to the excess return but also to the marginal contribution of each view to the TEV. We provide also an empirical investigation in the Black-Litterman framework in order to modify the views to achieve a TEV goal.
2008
TEV sensitivity to views in black-litterman model
Braga, MARIA DEBORA; Natale, FRANCESCO PAOLO
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11565/3846908
 Attenzione

Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo

Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact