Portfolio Management under Constraints on Ex-Ante and Ex-Post Tracking-Errors

Investment fund managers are judged by ex post or realized tracking error rather than the ex ante tracking error, which is unobservable. The main objective of this paper is to examine the relation between the theoretical tracking error that the manager defines ex ante and the realised tracking error that is actually measured ex post. We determine the ex ante tracking error that must be set in order for the ex post tracking error to remain within a given tolerance margin

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Year of publication:	2013
Authors:	Belhaj, Riadh
Other Persons:	Maillard, Didier (contributor) ; Portait, Roland (contributor)
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Portfolio-Management \| Portfolio selection \| Theorie \| Theory

Extent:	1 Online-Ressource (28 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Bankers, Markets & Investors, n°79, November-December 2005 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 2013 erstellt
Other identifiers:	10.2139/ssrn.2173268 [DOI]
Classification:	G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013089714