Manager skill and portfolio size with respect to a benchmark
研究了基金经理在管理相对于基准的投资组合时，应选择基准股票的最优百分比，发现最优选择比例在50%到80%之间，这对增强指数型基金经理有参考价值。
Abstract Investment managers often manage a portfolio with respect to a benchmark. Typically, they use a mean‐variance optimization framework to maximize the information ratio of their portfolio. We develop an unconventional approach to this question. Given a set of assumptions, we ask what optimal percentage of the benchmark stocks the portfolio manager should select. This optimal portfolio depends on Fisher's and Wallenius's noncentral hypergeometric distributions. We find that the optimal selectivity of a benchmark universe varies from 50% to 80%. These results are provocative, given that many enhanced index portfolio managers select a low percentage of the benchmark universe.