The PortScenInfoR.lng Model

Maximize the Information ratio of a portfolio

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Maximize the Information ratio of a portfolio, using the scenario approach for describing randomness.
A portfolio has a high information ratio if its expected return is high relative to the benchmark, but also tends to move (be correlated) with the benchmark.
The information ratio is:
( Avg return of portfolio - average return of benchmark)/(SD of tracking error);


Portfolio Selection | Scenario Method | Benchmark Portfolio | Information Ratio |