Separation of the Role of Portfolio Managers and Traders for Active Portfolio Management(<Special English Issue>Industrial Management)

概要

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Active portfolio managers need to have the ability to construct a portfolio which outperforms a market, i.e., a benchmark, using their prediction ability. Many active portfolio managers, however, faced the problem that the exante possibility was different from the ex-post delivery for an active portfolio. The gap comes from the ignorance of the trader's role by portfolio managers. We focused on the role of portfolio managers and traders in order to fill the gap. We propose a method for finding a series of portfolios, each of which can be applicable for practical situations. Our method consists of two steps where the first step is for active portfolio managers, and the second one for traders. This is a realization of the separation of the role of active portfolio managers and traders, strategically.
社団法人日本経営工学会の論文
2009-02-15