Читать книгу Asset Allocation - William Kinlaw, Mark P. Kritzman - Страница 26

 Investors constrain their allocation to certain asset classes because they do not want to perform poorly when other investors perform well.

 Constraints are inefficient because, of necessity, they are arbitrary.

 Investors can derive more efficient portfolios by expanding the optimization objective function to include aversion to tracking error as well as aversion to absolute risk.

 Mean-variance-tracking error optimization produces an efficient surface in the dimensions of expected return, standard deviation, and tracking error.

 This approach usually delivers a portfolio that is more efficient in three dimensions than the portfolio that is produced by constrained mean-variance analysis.