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Abstract
Institutional investors have long been challenged by the process of building portfolios to mirror the performance of a benchmark index, particularly when illiquid assets or large amounts of assets are involved. This research presents a method that is simple, linear and filter-based. In a practical example, it achieves lower tracking error than commonly used models.
In Carrier Portfolios , published the Fall 2013 issue of The Journal of Portfolio Management , Steve Kusiak, demonstrates an alternative to the traditional mean-variance optimization methods of using covariance matrices or regression-based models. The author is a Senior Research Analyst at Russell Investments in New York.
TOPICS: Portfolio construction, passive strategies, real assets/alternative investments/private equity
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US and Overseas: +1 646-931-9045
UK: 0207 139 1600