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1、MultivariateGARCHmodelsandBlack-Littermanapproachfortrackingerrorconstrainedportfolios:anempiricalanalysisGiulioPalomba∗AbstractInatypicaltacticalassetallocationsetupmanagersgenerallymaketheirchoiceswiththeaimofbeatingabenchmarkportfolio.InthiscontextthepureMarkowitzstrategydoesn
2、ottaketwoaspectsintoaccount:assetreturnsoftenshowchangesinvolatilityandmanagers’decisionsdependonprivateinformation.Thispaperprovidesanempiricalmodelforlargescaletacticalas-setallocationwithmultivariateGARCHestimates,givenatrackingerrorconstraint.Moreover,theBlackandLittermanappr
3、oachmakesitpossibletotacticallymanagetheselectedportfoliobycombininginformationtakenfromthetimevaryingvolatilitymodelwithsomepersonal“view”aboutassetreturns.JELClassification:C32,C53,G11Keywords:assetreturns,tacticalassetallocation,multivariateGARCHmodels,trackingerrorconstrainedf
4、rontier,BlackandLittermanapproach1IntroductionNowadays,thetaskofbeatingabenchmarkportfoliointermsofreturngivenasuperiorlimitontrackingerrorrepresentsthecrucialpointifthemanagerwantstoincreasethevalueofherinvestment:tacticalassetal-location(hereafterTAA)strategiesarebasedonanappro
5、achaccordingtowhichthemanagerisinducedtomaximiseheractivereturn,alsoknownas“alpha”,takingitsvolatilityundercontrol.ThisintuitionmovesfromthetraditionaloptimisationproposedbyMarkowitz(1959)andshiftstheproblemfromglobalmean-variancetrade-offtothespacespannedbyactiveriskandactiveretu
6、rn.∗DipartimentodiEconomia,Universit`aPolitecnicadelleMarche,PiazzaleMartellin.8,60121Ancona(Italy),g.palomba@univpm.it.IwishtothankLucaFanelli,RiccardoLucchettiandEduardoRossifortheirhelpfulcommentandsuggestions.1Theperformanceofthetacticallymanagedportfoliosisobviouslystrictlyr
7、elatedtotheoneofaprespecifiedbenchmark:thefundamentalassumptionisthattheoptimalportfolioiscomposedbythreedifferentcomponentsrespectivelynamedminumumvariance,strategicandtacticalportfolios1.Giventhatthestrategicmix,orbenchmark,isthesumofthefirsttwocomponents,thetacticalonederivesfrom
8、themanagerperceptionaboutexpectedreturns
