RT Journal Article
SR Electronic
T1 Practical Applications of Carrier Portfolios
JF Practical Applications
FD Institutional Investor Journals
SP 1
OP 3
DO 10.3905/pa.2014.2.1.066
VO 2
IS 1
A1 Steven Kusiak
A1 Gauri Goyal
YR 2014
UL https://pm-research.com/content/2/1/1.16.abstract
AB Carrier Portfolios Steven Kusiak 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