Knight, J. and Satchell, Stephen E. (2010) Exact properties of measures of optimal investment for benchmarked portfolios. Quantitative Finance 10 (5), pp. 495-502. ISSN 1469-7688.Full text not available from this repository.
We revisit the problem of calculating the exact distribution of optimal investments in a mean variance world under multivariate normality. The context we consider is where problems in optimisation are addressed through the use of Monte-Carlo simulation. Our findings give clear insight as to when Monte-Carlo simulation will, and will not work. Whilst a number of authors have considered aspects of this exact problem before, we extend the problem by considering the problem of an investor who wishes to maximise quadratic utility defined in terms of alpha and tracking errors. The results derived allow some exact and numerical analysis. Furthermore, they allow us to also derive results for the more traditional non-benchmarked portfolio problem.
|School or Research Centre:||Birkbeck Schools and Research Centres > School of Business, Economics & Informatics > Economics, Mathematics and Statistics|
|Date Deposited:||31 Mar 2011 09:51|
|Last Modified:||17 Apr 2013 12:20|
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