Volume : VII, Issue : VIII, August - 2017
Portfolio Optimization Using Modified Information Ratio
Meena Baweja, Dr. Ratnesh R. Saxena
Abstract :
In this paper, we propose single–asset portfolio optimization approach based on modified information ratio. Portfolio performances are commonly assessed against a benchmark using information ratio. With the help of numerical example this paper shows why maximizing information ratio could be wrong policy. So this work overcomes the drawbacks of traditional information ratio and demonstrates the benefits of using modified information ratio.
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DOI : 10.36106/ijar
Cite This Article:
Meena Baweja, Dr. Ratnesh R. Saxena, Portfolio Optimization Using Modified Information Ratio, INDIAN JOURNAL OF APPLIED RESEARCH : Volume‾7 | Issue‾8 | August‾2017
Number of Downloads : 416
Meena Baweja, Dr. Ratnesh R. Saxena, Portfolio Optimization Using Modified Information Ratio, INDIAN JOURNAL OF APPLIED RESEARCH : Volume‾7 | Issue‾8 | August‾2017
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