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Maximizing Active Risk Adjusted Return

Authors: Ronald Sutedja;

Maximizing Active Risk Adjusted Return

Abstract

Information ratio is defined as the ratio between excess return and the standard deviation from excess return. The denominator of IR, at least in the context of multi-factor risk model, is defined as the active exposure times the factor covariances times the transpose of the active exposure matrix. In this paper, a method of maximizing this ratio is introduced. By using scaling method for all dual-constraints of primal problems, it is possible to achieve strong optimality condition.

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
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