Open Access

Clément Ngnoudji

• Forecasting is the key to active portfolio management. Without forecasting, portfolio managers would passively invest in their benchmark. The current investment frame is characterized by continuouslyForecasting is the key to active portfolio management. Without forecasting, portfolio managers would passively invest in their benchmark. The current investment frame is characterized by continuously changing information and market conditions, highly sophisticated information technology and the duplication of skilled practitioners at different levels. In addition, new regulations and advanced forecasting techniques have allowed the whole investment management sector to substantially improve risk management and risk control thereby increasing the payoff of all investments. However, all these have in the meantime lead to complexities and duplication of information sources.Keeping in mind that active managers based on information available to them, seek to invest in portfolios that generate the highest value added. How taking advantage of multiple sources of information has become a common portfolio management problem. This master thesis takes a careful look at the process of turning information into portfolios while trying through the fundamental law of active management and the Lehman Brothers model to implement efficiency into it.…