PT  - JOURNAL ARTICLE
AU  - Andrew Brzezinski
AU  - Venk Kidambi
TI  - Portfolio Considerations in Trading
AID  - 10.3905/joi.2011.20.2.124
DP  - 2011 May 31
TA  - The Journal of Investing
PG  - 124--137
VI  - 20
IP  - 2
4099  - https://pm-research.com/content/20/2/124.short
4100  - https://pm-research.com/content/20/2/124.full
AB  - In today’s turbulent marketplace with unprecedented portfolio turnover, transition activity and drawdowns, portfolio managers must identify and eliminate all sources of Sharpe ratio erosion. In this environment, trading costs and risks are significant contributors to this performance drag and avoiding them is the subject of this article. We observe and explain how common trading methods tend to increase costs and risks, and bridge the gap between portfolio management and the trade by introducing portfolio considerations in trading. Our techniques seek best execution from a portfolio perspective in accordance with Article 2 of the Uniform Prudent Investor Act [1].TOPICS: Portfolio construction, VAR and use of alternative risk measures of trading risk, equity portfolio management