PORTFOLIO OPTIMIZATION UNDER TRACKING ERROR AND WEIGHTS CONSTRAINTS
研究了在权重约束下主动管理者的最优资产配置，分析了该约束对管理者绩效和信息比率的影响，发现权重约束常导致信息比率下降。
The performance of active portfolio managers who must comply with a weights constraint is often assessed against a benchmark. The weights constraint is common as the funds are committed by their own prospectus to a minimum (or maximum) portfolio concentration. We characterize the optimal asset allocation and analyze the implications of the weights constraint on the manager's performance and on the relevance of the information ratio. We obtain that because of the weights constraint, at the optimum, the information ratio often decreases when the manager is free to deviate more from the benchmark.