Active or passive portfolio: A tracking error analysis under uncertainty theory

Yang, Tingting; Huang, Xiaoxia

doi:10.1016/j.iref.2022.02.043

Cited by 6 publications

(2 citation statements)

References 26 publications

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“…The passive strategy is to copy the market index (like S&P 500) and get the return similar to exact market index's return, while the active portfolio strategy is more likely to achieve higher return than the market. Yang and Huang (2022) showed that mutual funds with a higher proportion of actively managed funds outperform peer funds with a low percentage of actively managed funds over year 1993 to 2015 [6]. Besides, according to Chou et al ( 2022), an increasing number of people treat investments not only to enhance their own wealth but also to hedge against the risk of inflation [7].…”

Section: Introductionmentioning

confidence: 99%

Portfolio Selection Based on a Four-Dimensional Weighted Scoring Model

Yuan¹

2023

BCPBM

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Although factor investment approaches are currently receiving a lot of attention, active investment strategies rarely apply the combination of different factors. This paper's major goal is to utilise a clearly defined model to assess if the portfolio chosen by the model offers superior total returns compared to standard indexes (S&P 100 is taken as an example in this article). The author constructs a weighted scoring model combing different indicators to well demonstrate four factors based on the identification of valuation, profitability, growth and pay-out. This paper collects data of high-capitalization corporates in US during the period from 2015 to 2021 to illustrate that an active management portfolio well designed by the weighted scoring model can outperform competing index strategies. The reported results illustrate that combined precisely weighted indicators deliver significant outcome of selected stocks, especially in the long-term condition. The 5-year return of the selected portfolio, which is determined by the model constructed, delivers the outstanding performance with returns of up to about 180%.

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Section: Introductionmentioning

confidence: 99%

Portfolio Selection Based on a Four-Dimensional Weighted Scoring Model

Yuan¹

2023

BCPBM

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“…Furthermore, Li and Shu [22] and Liu et al [35] studied portfolio selection problems in a more complex environment, in which uncertainty and randomness exist simultaneously. Yang and Huang [46] discussed active and passive portfolio managements to illustrate how to choose strategies according to investors' risk attitude under uncertainty. Yang and Huang [47] also studied an enhanced index tracking problem and proposed two new uncertain mean-variance models.…”

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confidence: 99%

Mean-risk model for uncertain portfolio selection with background risk and realistic constraints

Feng

Zhang

Peng

2023

JIMO

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<p style='text-indent:20px;'>This paper studies a portfolio selection problem in such a situation where the future asset return rates cannot be well obtained by historical data but have to be given by experts' evaluations. In order to reflect the impact of realistic conditions on investment decisions, background risk and some realistic constraints are also considered. First, a nonlinear uncertain mean-risk model for uncertain portfolio selection is proposed. For further discussion, the crisp equivalent forms of the model are presented. Then, an effective solution method for solving the model is obtained. Furthermore, the influence of background risk on investment strategies is discussed by comparing the optimal expected return with background risk with that without background risk. Finally, some numerical examples are provided to illustrate the performance and applications of the model.</p>

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