Optimizing tracking error-constrained portfolios
Michael Maxwell, Michael Daly, Daniel Thomson and Gary van Vuuren
| Year of publication: |
2018
|
|---|---|
| Authors: | Maxwell, Michael ; Daly, Michael ; Thomson, Daniel ; Van Vuuren, Gary |
| Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 50.2018, 54, p. 5846-5858
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| Subject: | optimization | risk-adjusted returns | Sharpe ratio | Tracking error frontier | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Statistischer Fehler | Statistical error | Risikomaß | Risk measure | Risiko | Risk | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2018.1488069 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012062920