tracking error portfolios with daily rebalancing from the individual constituents of the S&P 100 index. We focus on the issue …

standard parametric models in terms of constructing minimum variance portfolios and minimum tracking error portfolios. …: Multivariate GARCH, dynamic conditional correlation, kernel regression, minimum variance portfolio, tracking error minimization … nd that our new semi- parametric model is competitive with rival speci cations, in particular in terms of tracking error …

standard parametric models in terms of constructing minimum variance portfolios and minimum tracking error portfolios. …

benchmark. The manager’s exposure to risk is controlled by means of a tracking error volatility constraint. It depends on market …

tracking error portfolios with daily rebalancing from the individual constituents of the S&P 100 index. We focus on the issue …

benchmark. The manager’s exposure to risk is controlled by means of a tracking error volatility constraint. It depends on … also available on the ERIM website: www.erim.eur.nl A Relative View on Tracking Error Winfried G. Hallerbach and … their mandate to a specific benchmark. The manager’s exposure to risk is controlled by means of a tracking error volatility …

the merits of high-frequency intraday data when forming minimum variance portfolios and minimum tracking error portfolios …