Multiple-Benchmark and Multiple-Portfolio Optimization

Ming Yee Wang

Financial Analysts Journal, 1999, vol. 55, issue 1, 63-72

Abstract: Numerous real-life portfolio optimization problems require consideration of more than one benchmark and/or more than one portfolio. These problems are formulated in a way that seems to be more complicated than the standard problem of mean–tracking-error-variance optimization. In fact, however, these diverse problems can be reduced to the standard case and solved with the same algorithm. This article provides solutions to the dual-benchmark problem, the portfolio partition problem, and the completion portfolio problem. Such solutions and applications are important to both portfolio managers and plan sponsors.

Date: 1999
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DOI: 10.2469/faj.v55.n1.2242

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