Статья Александра Алексеева, выпускника факультета экономики 2012 г., а ныне PhD студента Georgia State University (Атланта, США), и Михаила Соколова, доцента факультета экономики, Benchmark-based evaluation of portfolio performance: a characterization опубликована в журнале Annals of Finance (Volume 12, Issue 3, December 2016, pp. 409–440).
Abstract: Benchmarking is a universal practice in portfolio management and is well-studied in the optimal portfolio selection literature. This paper derives axiomatic foundations of the relative return, which underlies a benchmark-based evaluation of portfolio performance. We show that the existence of a benchmark naturally arises from a few basic axioms and is tightly linked to the economic theory. Our method relies on the use of both axiomatic and economic approaches to index number theory. We also analyze the problem of optimal portfolio selection under complete uncertainty about a future price system, where the objective function is the relative return.