TY - JOUR T1 - Active Portfolio Management with Conditioning Information JF - The Journal of Investing SP - 51 LP - 65 DO - 10.3905/joi.2019.1.077 VL - 28 IS - 4 AU - Masashi Ieda AU - Naoki Fujino AU - Hiroshi Sasaki Y1 - 2019/05/31 UR - https://pm-research.com/content/28/4/51.abstract N2 - In this article, the authors propose more efficient and practical portfolio management methodology in which portfolio weights are determined by several market observations. Their method is based on the managed portfolio construction technique and makes it more tractable for fund managers. The key points of this work are as follows: (i) the authors impose constraints on active weights against to the pre-specified benchmark weights, and (ii) the authors show empirically that the constraints stabilize and improve the portfolio performance by backtests.TOPICS: Portfolio management/multi-asset allocation, performance measurement ER -