Summary
Random portfolios—portfolios that obey constraints but ignore utility—are shown to measure investment skill effectively. Problems are highlighted regarding performance measurement using information ratios relative to a benchmark. Random portfolios can also form the basis of investment mandates Investment mandates—this allows active fund managers more freedom to implement their ideas, and provides the investor more flexibility to gain utility. The computation of random portfolios Random portfolios is briefly discussed
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Burns, P. (2007). Random Portfolios for Performance Measurement. In: Kontoghiorghes, E.J., Gatu, C. (eds) Optimisation, Econometric and Financial Analysis. Advances in Computational Management Science, vol 9. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-36626-1_11
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DOI: https://doi.org/10.1007/3-540-36626-1_11
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-36625-6
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