Enhanced indexing and selectivity theory
通过模拟放松假设条件，检验了有技能的投资经理最优持股比例在基准50%-80%的理论是否仍然成立，并将单期分析扩展到多期，使用标普500实际回报数据。
Abstract Investment managers that believe to have skill must choose some fraction of stocks in a benchmark to hold. Recent theory predicts that the optimal percentage of holdings for a manager with skill is between 50% and 80% of the benchmark. This theory requires a number of assumptions. Using simulations, we relax some of the assumptions to examine if the theory still holds. We find that, for the most part, the theory holds when the assumptions are relaxed. We also extend the analysis from a one‐period horizon to a multiperiod horizon using the actual returns of stocks in the S&P 500.