"A Separation Theorem of Active Management and Synthetic Enhanced Active Strategies"(in Japanese)

Preprint OPEN
Takao Kobayashi; Seiji Minami;

We propose a Separation Theorem of Active Management. It asserts that in the so-called Enhanced Active Portfolio framework the efficient frontier is linear in the active return/active risk space, and one can separate the determination of optimal active portfolio weights... View more
Share - Bookmark