Title
Modeling manager confidence in forecasted excess returns under active portfolio management
Date Issued
11 December 2014
Access level
metadata only access
Resource Type
journal article
Author(s)
Publisher(s)
Palgrave Macmillan
Abstract
In the framework of active portfolio management, we propose a novel methodology to incorporate the relative confidence given to the distribution of consensus excess returns with respect to the forecasted one. This methodology uses a particular case of the generalized hyperbolic distribution, and provides an intuitive and simple form to incorporate distribution uncertainty since closed-form expressions for the optimal portfolio weights are available for the unconstrained optimization problem.
Start page
353
End page
365
Volume
15
Issue
6
Language
English
OCDE Knowledge area
Negocios, Administración
Subjects
Scopus EID
2-s2.0-84927125576
Source
Journal of Asset Management
ISSN of the container
14708272
Sources of information:
Directorio de Producción Científica
Scopus