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Multiple-Benchmark and Multiple-Portfolio Optimization

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  • Ming Yee Wang

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.

Suggested Citation

  • Ming Yee Wang, 1999. "Multiple-Benchmark and Multiple-Portfolio Optimization," Financial Analysts Journal, Taylor & Francis Journals, vol. 55(1), pages 63-72, January.
    • Handle: RePEc:taf:ufajxx:v:55:y:1999:i:1:p:63-72
    DOI: 10.2469/faj.v55.n1.2242
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