Scholar Info


Glen Larsen

Professor of Finance

ude[dot]iupui[at]nesralg

An Optimization Strategy for Enhancing the Performance


One popular money management technique is to construct a portfolio (fund) using other managed portfolios (funds). The resulting overall portfolio is generally referred to as a fund of funds portfolio. This study demonstrates the potential for performance enhancement in a fund of funds when portfolio optimization techniques are employed on sector funds or sector indices in order to construct the overall fund.

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