Search Results - subject:"Tracking error"

A Comparison of Cointegration & Tracking Error Models for Mutual Funds & Hedge Funds

Alexander, Carol; Dimitriu, Anca - Henley Business School, University of Reading - 2004

properties of cointegration optimal equity portfolios with those of portfolios optimised on the tracking error variance. From an … between the tracking portfolio and the index has no clear advantages or disadvantages relative to the tracking error variance …

Persistent link: https://www.econbiz.de/10005146622

The effects of decision flexibility in the hierarchical investment decision process

Hallerbach, Winfried; Spronk, Jaap; Ning, Ning, H. - Erasmus Research Institute of Management (ERIM), … - 2003

reason why targets often come with limits on the maximally allowed deviation (or "tracking error") from these targets. The …

Persistent link: https://www.econbiz.de/10010731168

Risk allocation under shortfall constraints

Molenkamp, Jan Bertus - Faculteit der Economische Wetenschappen en … - 2003

Risk budgeting interpreted as efficient portfolio allocation is often based on expected outperformance, alpha or information ratio. Once these crucial parameters have been estimated, they are being treated as fixed. In this paper we develop some sense, both theoretical and practical, on the...

Persistent link: https://www.econbiz.de/10010783193

Honey, I shrunk the sample covariance matrix

Ledoit, Olivier; Wolf, Michael - Department of Economics and Business, Universitat … - 2003

shrinkage reduces tracking error relative to a benchmark index, and substantially increases the realized information ratio of …

Persistent link: https://www.econbiz.de/10005772576

The effects of decision flexibility in the hierarchical investment decision process

Hallerbach, W.G.P.M.; Ning, H.; Spronk, J. - Erasmus Research Institute of Management (ERIM), ERIM … - 2003

reason why targets often come with limits on the maximally allowed deviation (or "tracking error") from these targets. The …

Persistent link: https://www.econbiz.de/10005256418

Strategic trading by index funds and liquidity provision around S&P 500 index additions

Green, Tracy Clifton; Jame, Russell - In: Journal of financial markets 14 (2011) 4, pp. 605-624

Persistent link: https://www.econbiz.de/10009260942

Study on the tracking errors and their determinants : evidence from Hong Kong exchange traded funds

Chu, Patrick Kuok-Kun - In: Applied financial economics 21 (2011) 4/6, pp. 309-315

Persistent link: https://www.econbiz.de/10009124571

Optimal portfolio policies under bounded expected loss and partial information

Sass, Jörn; Wunderlich, Ralf - In: Computational Statistics 72 (2010) 1, pp. 25-61

In a market with partial information we consider the optimal selection of portfolios for utility maximizing investors under joint budget and shortfall risk constraints. The shortfall risk is measured in terms of expected loss. Stock returns satisfy a stochastic differential equation. Under...

Persistent link: https://www.econbiz.de/10010847543

Optimal portfolio policies under bounded expected loss and partial information

Sass, Jörn; Wunderlich, Ralf - In: Mathematical Methods of Operations Research 72 (2010) 1, pp. 25-61

Persistent link: https://www.econbiz.de/10010999588

Searching for seasonal patterns in exchange traded funds' trading characteristics

Rompotis, Gerasimos G. - In: American Journal of Finance and Accounting 2 (2010) 2, pp. 155-180

This paper investigates the seasonal characteristics of exchange traded funds (ETFs) return, risk, tracking error and … combination of substantial average performance and low average risk and tracking error signals an opportunity for investors to … relationship between risk and tracking error is also revealed. Finally, the study indicates that the trading activity of ETFs is …

Persistent link: https://www.econbiz.de/10008755390