The 5th International Conference on Modern Management based on Big Data (MMBD2024)

Abstract: Passive asset management has emerged in the last decades because, in most cases, active portfolio managers are not able to beat their benchmark. Skewed distributions are witnessed every day in financial markets and the need to model them is gaining momentum. This article deals with passive management of skewed distributed assets and suggests how to build a portfolio with a tracking error constrain while minimizing the number of holdings necessary to track the benchmark. In addition, the suggested model provides a conservative estimate of the tracking error and, thus, does not require an adjustment to prevent a breach of the risk budget.
Keywords: Index tracking, Passive fund management, Optimization technique, Tracking error, Skewed distributions

Biography: Giuseppe Orlando currently works at the Department of Economics of the HSE University and at the Department of Mathematics (DM) of the University of Bari (Italy). He does research in Economics, Finance, Actuarial Science and Econometrics in which he obtained the "Bruno De Finetti" Award in Mathematics Applied to Economics. His current projects are on Nonlinear Dynamics in Economics, Natural Catastrophes (NatCat) Modeling and Interest Rates Forecasting. He was also Senior Risk Manager, Risk Consultant, Chief Risk Officer and Head of Risk and Quantitative Research for financial institutions such as Allianz, ING, HSBC, State Street, etc.