TY - JOUR T1 - Active Management of Equity Investment Portfolios JF - The Journal of Portfolio Management SP - 39 LP - 46 DO - 10.3905/jpm.2001.319800 VL - 27 IS - 3 AU - José R. Aragonés AU - Carlos Blanco AU - Juan Mascareñas Y1 - 2001/04/30 UR - https://pm-research.com/content/27/3/39.abstract N2 - The main purpose of this article is to show how the VaR methodology can be effectively applied for risk measurement and management of equity portfolios, introducing a sector approach in the analysis. The risk aggregation problem of equity portfolios is addressed by grouping individual positions in the corresponding industry sectors as a first step toward an effective risk management tool to measure the tracking error against a benchmark index. ER -