Portfolio Selection Based on Multiple Benchmarks

Benchmark is the passive representation of the manager´s investment process and the standard of investor´s asset allocation. We study the portfolio selection based on multiple benchmarks in this paper. We construct a portfolio selection model based on multiple benchmarks and analyze the effect of the manager´s preference on the portfolio selection. We show that the larger the risk averse coefficient, the larger effect of the benchmark on the portfolio selection to the manager. We also study the constraint condition of the model and extend the portfolio selection model.