In order to improve upon the performance of a managed portfolio, we propose the use of Marginal Value-at-Risk (MVaR) to ascertain the desirability of assets for inclusion in the managed portfolio, prior to obtaining the optimal managed portfolio. In particular, this is applied on a larger index which comprises of a greater number of assets than a benchmark index and the larger index includes all the assets from the benchmark index. The resulting MVaR index includes exactly the same number of assets as the benchmark index. An empirical study with S&P BSE 100 as the benchmark index, with the MVaR index being derived from S&P BSE 200, with five different optimization problems shows outperformance by the MVaR portfolio over the benchmark portfolio. This highlights the advantage of the inclusion of MVaR resulting in improved performance of the managed portfolio.

中文翻译：

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边际 VaR 是否会导致管理投资组合的绩效提高：对 S&P BSE 100 和 S&P BSE 200 的研究

为了提高管理投资组合的绩效，我们建议在获得最佳管理投资组合之前，使用边际风险价值 (MVaR) 来确定资产是否适合纳入管理投资组合。特别是，这适用于包含比基准指数更多资产的更大指数，并且更大的指数包括来自基准指数的所有资产。由此产生的 MVaR 指数包含与基准指数完全相同的资产数量。一项以 S&P BSE 100 为基准指数的实证研究，MVaR 指数源自 S&P BSE 200，五个不同的优化问题表明 MVaR 投资组合的表现优于基准投资组合。