Volume : VII, Issue : VIII, August - 2017

Portfolio Optimization Using Modified Information Ratio

Meena Baweja, Dr. Ratnesh R. Saxena

Abstract :

 In this paper, we propose single–asset portfolio optimization approach based on modified information ratio. Portfolio performances are commonly assessed against a benchmark using information ratio. With the help of numerical example this paper shows why maximizing information ratio could be wrong policy. So this work overcomes the drawbacks of traditional  information ratio and demonstrates the benefits of using modified information ratio.

 

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Article: Download PDF   DOI : 10.36106/ijar  

Cite This Article:

Meena Baweja, Dr. Ratnesh R. Saxena, Portfolio Optimization Using Modified Information Ratio, INDIAN JOURNAL OF APPLIED RESEARCH : Volume‾7 | Issue‾8 | August‾2017

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