Benchmark Design for an Active Investment Process

dc.date.accessioned	2019-01-08T09:23:35Z
dc.date.available	2019-01-08T09:23:35Z
dc.date.issued	2014
dc.identifier.issn	1893-966X
dc.identifier.uri	http://hdl.handle.net/11250/2579587
dc.description.abstract	Most equity funds are benchmarked to market capitalisation weighted indices. A large investor may wish to design nonmarket capitalisation weighted benchmarks to maximise the benefit to the investor of the stock picking ability of active portfolio managers. We introduce a generic modelling framework which takes sector characteristics, manager skill, risk-taking appetite and market states into consideration. Our simulations may guide the design of customized benchmarks which offer investment capacity and increase the benefit of an active investment process.	nb_NO
dc.language.iso	eng	nb_NO
dc.publisher	Norges Bank Investment Management	nb_NO
dc.relation.ispartofseries	Discussion note;6/2014
dc.relation.ispartofseries	Diskusjonsnotat;6/2014
dc.rights	Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal	*
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/4.0/deed.no	*
dc.title	Benchmark Design for an Active Investment Process	nb_NO
dc.title.alternative	Design av referanseindekser for en aktiv investeringsprosess	nb_NO
dc.type	Others	nb_NO
dc.description.version	publishedVersion	nb_NO
dc.subject.nsi	VDP::Samfunnsvitenskap: 200::Økonomi: 210	nb_NO
dc.source.pagenumber	28	nb_NO

Med mindre annet er angitt, så er denne innførselen lisensiert som Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal