Search Results - subject:"Tracking error"

Non-fully invested derivative-free bond index replication

Markov, Iliya; Oeuvray, Rodrigue; Tuchschmid, Nils S. - In: Financial markets and portfolio management 27 (2013) 1, pp. 101-124

Persistent link: https://www.econbiz.de/10009720944

A multiobjective model for passive portfolio management : an application on the S&P 100 index

García, Fernando; Guijarro, Francisco; Moya, Ismael - In: Journal of business economics and management 14 (2013) 4, pp. 758-775

Persistent link: https://www.econbiz.de/10010188972

Does ETF arbitrage exist?

Ivanov, Stoyu I. - In: International journal of financial services management … 6 (2013) 3, pp. 252-261

Persistent link: https://www.econbiz.de/10010338901

Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data - But Which Frequency to Use?

de Pooter, Michiel; Martens, Martin; van Dijk, Dick - 2005

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

Persistent link: https://www.econbiz.de/10010325290

Exact Properties of Measures of Optimal Investment for Institutional Investors

Knight, John; Satchell, Stephen - Birkbeck, Department of Economics, Mathematics & Statistics - 2005

We revisit the problem of calculating the exact distribution of optimal investments in a mean variance world under multivariate normality. The context we consider is where problems in optimisation are addressed through the use of Monte-Carlo simulation. Our findings give clear insight as to when...

Persistent link: https://www.econbiz.de/10005509608

Semi-Parametric Modelling of Correlation Dynamics

Hafner, C.M.; Dijk, D.J.C. van; Franses, Ph.H.B.F. - Erasmus University Rotterdam, Econometric Institute - 2005

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 …

Persistent link: https://www.econbiz.de/10005450907

Semi-Parametric Modelling of Correlation Dynamics

Hafner, Christian Matthias; van Dijk, Dick; Franses, … - Faculteit der Economische Wetenschappen, Erasmus … - 2005

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

Persistent link: https://www.econbiz.de/10010731661

A Relative View on Tracking Error

Hallerbach, Winfried; Pouchkarev, Pouchkarev, I. - Erasmus Research Institute of Management (ERIM), … - 2005

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

Persistent link: https://www.econbiz.de/10010837604

Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data - But Which Frequency to Use?

Pooter, Michiel de; Martens, Martin; Dijk, Dick van - Tinbergen Institute - 2005

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

Persistent link: https://www.econbiz.de/10005137077

A Relative View on Tracking Error

Hallerbach, W.G.P.M.; Pouchkarev, I. - Erasmus Research Institute of Management (ERIM), ERIM … - 2005

benchmark. The managerâ€™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 …

Persistent link: https://www.econbiz.de/10005288644