Browsing Research Articles (Mathematics and Applied Mathematics) by Author "Gunning, Wade"

Browsing Research Articles (Mathematics and Applied Mathematics) by Author "Gunning, Wade"

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  • Exploring the drivers of tracking error constrained portfolio performance 
    Gunning, Wade; Van Vuuren, Gary (Cogent OA, 2019-11-01)
    Maximising returns is often the primary goal of asset management but managing and mitigating portfolio risk also plays a significant role. Successful active investing requires outperformance of a benchmark through skillful ...
  • Optimal omega-ratio portfolio performance constrained by tracking error 
    Gunning, Wade; Van Vuuren, Gary (Business Perspectives, 2020-09)
    The mean-variance framework coupled with the Sharpe ratio identifies optimal portfolios under the passive investment style. Optimal portfolio identification under active investment approaches, where performance is measured ...