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Risk policies for active asset managers

Author

Listed:
  • Dario Brandolini

    (Asset Allocation and Strategy Department at Ras Asset Management)

  • Massimiliano Pallotta
  • Raffaele Zenti

    (Ras Asset Management SGR SpA, Piazza Velasca 7/9 5th floor)

Abstract

Recently in the asset management community, there has been a lot of attention given to techniques for estimating risk indicators. The authors' focus is on the use of risk indicators, that is, they concentrate on risk policies rather than on estimation techniques. The aim of this paper is to assess, from an empirical point of view, whether a risk policy based on the use of other risk indicators besides tracking error can improve the risk-adjusted relative performance of an actively managed equity portfolio.

Suggested Citation

  • Dario Brandolini & Massimiliano Pallotta & Raffaele Zenti, 2004. "Risk policies for active asset managers," Journal of Asset Management, Palgrave Macmillan, vol. 4(6), pages 407-414, April.
    • Handle: RePEc:pal:assmgt:v:4:y:2004:i:6:d:10.1057_palgrave.jam.2240119
    DOI: 10.1057/palgrave.jam.2240119
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