A Study on a Multi-factor Model of Portfolio Choice with Benchmark

Yong Kai MA;Xiao Wo TANG

Systems Engineering - Theory & Practice ›› 2004, Vol. 24 ›› Issue (7) : 30-37.

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中国科学院数学与系统科学研究院期刊网
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Systems Engineering - Theory & Practice ›› 2004, Vol. 24 ›› Issue (7) : 30-37. DOI: 10.12011/1000-6788(2004)7-30
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A Study on a Multi-factor Model of Portfolio Choice with Benchmark

  • Yong Kai MA,Xiao Wo TANG
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Abstract

We sets up a multi-factor model of portfolio choice with benchmark by introducing the multi-factor model of securities return into the decision-making model for investment with benchmark portfolio, studies its solution and the problem on setting value of controlling parameter in the model.

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multi-factor model / benchmark / excess return / active risk

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Yong Kai MA , Xiao Wo TANG. A Study on a Multi-factor Model of Portfolio Choice with Benchmark. Systems Engineering - Theory & Practice, 2004, 24(7): 30-37 https://doi.org/10.12011/1000-6788(2004)7-30
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