Abstract
This article is concerned with a portfolio optimization problem subject to a transfer coefficient constraint, which is intended to generate an enhanced index portfolio with a good ex-post performance. We will show that a standard mean-tracking error model with transfer coefficient constraint can be formulated as a convex minimization problem, which can be solved by a standard optimization software. Also we will show that the transfer coefficient constraint plays an essential role for constructing an enhanced index fund with a good ex-post performance using real stock data in Tokyo Stock Exchange.
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2holds a master's degree in Department of Industrial and Systems Engineering, Chuo University, Japan.
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Yamamoto, R., Ishibashi, T. & Konno, H. Portfolio optimization under transfer coefficient constraint. J Asset Manag 13, 51–57 (2012). https://doi.org/10.1057/jam.2011.13
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DOI: https://doi.org/10.1057/jam.2011.13