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Mimicking Portfolios

Roll, Richard and Srivastava, Akshay (2018) Mimicking Portfolios. Journal of Portfolio Management, 44 (5). pp. 21-35. ISSN 0095-4918. https://resolver.caltech.edu/CaltechAUTHORS:20180516-155907699

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Abstract

Mimicking portfolios have many applications in the practice of finance. A new method for constructing them is presented in this article. The authors illustrate its application by creating portfolios that mimic individual NYSE stocks. On the construction date, a mimicking portfolio exactly matches its target stock’s exposures (betas) to a set of exchange-traded funds, which serve as proxies for global factors. The portfolio has much lower idiosyncratic volatility than its target, and mimicking portfolios require only modest subsequent rebalancing in response to instabilities in target assets and assets used for portfolio construction. Although here composed exclusively of equities, mimicking portfolios show potential for mimicking non-equity assets as well.


Item Type:Article
Related URLs:
URLURL TypeDescription
https://doi.org/10.3905/jpm.2018.44.5.021DOIArticle
Additional Information:© 2018 Pageant Media Ltd. Published online April 30, 2018. Social Science Working Paper 1436 submitted January 2018.
Group:Social Science Working Papers
Other Numbering System:
Other Numbering System NameOther Numbering System ID
Social Science Working Paper1436
Issue or Number:5
Record Number:CaltechAUTHORS:20180516-155907699
Persistent URL:https://resolver.caltech.edu/CaltechAUTHORS:20180516-155907699
Official Citation:Mimicking Portfolios Richard Roll, Akshay Srivastava The Journal of Portfolio Management Apr 2018, 44 (5) 21-35; DOI: 10.3905/jpm.2018.44.5.021
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:86433
Collection:CaltechAUTHORS
Deposited By: Tony Diaz
Deposited On:18 May 2018 17:11
Last Modified:18 Oct 2019 23:21

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