n Investment Analysts Journal - Constrained leverage in a benchmark-relative framework

Volume 2002, Issue 56
  • ISSN : 1029-3523
  • E-ISSN: 2077-0227
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Extracted from text ... Number 56 - Part 3 H Raubenheimer* Constrained leverage in a benchmark-relative framework *Sanlam Investment Management, Private Bag X8, Tiger Valley Bellville 7536, Republic of South Africa. Email: heidir@sim.sanlam.com 1. Introduction The Mean-Variance (MV) approach to portfolio selection has provided rational investors with a framework for under uncertainty. The work of Markowitz, Tobin and Sharpe led to a better appreciation of how investments combine in a risk and reward sense. Tobin's contribution in particular simplified the portfolio selection decision. His Separation Theorem reduced the portfolio selection problem to an allocation between the market portfolio and the risk-free rate according ..

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