Active portfolio management is concerned with objectives related to the outperformance of the return of a target benchmark portfolio. Here we consider an objective that relates the probability of achieving a given performance objective to the time it takes to achieve the objective, in this way balancing risk and return. As a special case, our analysis includes the case where the investor wants ...

We focus on affine term structure models as tools for active bond portfolio management. We use multi-factor term structure models to produce forecasts for the future values of the state variables. Starting from the conditional moments of the state vector implied by the models, we introduce binomial approximations to come up with discrete scenarios for the future state variables. From the theore...

We examine the impact of adding a value-at-risk (VaR) constraint to the problem of an active manager who seeks to outperform a benchmark while minimizing tracking error variance (TEV) by using the model of Roll [1992. A mean/variance analysis of tracking error. Journal of Portfolio Management 18, 13–22]. We obtain three main results. First, portfolios on the constrained mean-TEV boundary still ...

Information Technology Portfolio Management (ITPM) is a topic of intense interest in the strategic management of information technology (IT). In ITPM, IT synchronization with corporate business strategy is operationalized by the application of the principles of financial portfolio management to IT investments. This perspective is crucial to the continual alignment of business strategy and IT in...

In this paper we provide a review of the current state of research on Portfolio Management with the support of Multiobjective Evolutionary Algorithms (MOEAs). Second we present a methodological framework for conducting a comprehensive literature review on the Multiobjective Evolutionary Algorithms (MOEAs) for the Portfolio Management. Third, we use this framework to gain an understanding of the...

Portfolio management of new product development has been studied in the context of large companies, but its relevance for small software companies has not been discussed. We conducted a multiple case study of four small software companies. The companies did not practice portfolio management, and seemed to suffer from problems that in the literature are considered symptomatic of inadequate portf...