Residual risk: How much is too much? Artificial limits on a portfolio's residual risk can lead to suboptimal behavior on the part of investors and managers

Journal of Portfolio Management

Volumn 22, Issue 3, 1996, Pages 10-16

  Jacobs, Bruce I ^a   Levy, Kenneth N ^a  

^a Jacobs Levy Equity Management   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0030099631     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.1996.10     Document Type: Article

References (5)

1. Clarke, Roger G., Scott Krase, and Meir Statman. "Tracking Errors, Regret, and Tactical Asset Allocation." Journal of Portfolio Management, Spring 1994, pp. 16-24.
2. Grinold, Richard C. "The Fundamental Law of Active Management." In F.J. Fabozzi, ed., Managing Institutional Assets. New York: Harper & Row, 1990, pp. 225-244.
3. Grinold, Richard C., and Ronald N. Kahn. Active Portfolio Management. Chicago: Probus Publishing, 1995.
4. Schramm, Sabine. "Index Managers Get Active." Pensions & Investments, October 16, 1995.
5. Sharpe, William F. "The Sharpe Ratio." Journal of Portfolio Management, Fall 1994, pp. 49-58.