Search Results - subject:"Tracking error"

The Effects of Decision Flexibility in the Hierarchical Investment Decision Process

Winfried Hallerbach, Haikun Ning, Jaap Spronk - In: Frontiers in Finance and Economics 1 (2004) 1, pp. 17-36

Persistent link: https://www.econbiz.de/10004998291

Portfolio & Risk Management: Asset Allocation and Risk Budgeting Optimization

Widijanto, D.; Nagornii, S. - Society for Computational Economics - SCE - 2004

allows for a minimum Tracking Error portfolio to be more efficient than benchmark"s global efficient frontier. Infinite …

Persistent link: https://www.econbiz.de/10005706550

Tracking Error and Active Portfolio Management

El-Hassan, Nadima; Kofman, Paul - In: Australian Journal of Management 28 (2003) 2, pp. 183-207

Persistent bear market conditions have led to a shift of focus in the tracking error literature. Until recently the … portfolio allocation literature focused on tracking error minimization as a consequence of passive benchmark management under … towards active portfolio strategies that aim at beating the benchmark while keeping tracking error within acceptable bounds …

Persistent link: https://www.econbiz.de/10010769591

Risk allocation under shortfall constraints

Molenkamp, Jan Bertus - VU University Amsterdam, Faculty of Economics, Business … - 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/10005150572

Honey, I Shrunk the Sample Covariance Matrix

Ledoit, Olivier; Wolf, Michael - Barcelona Graduate School of Economics (Barcelona GSE) - 2003

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

Persistent link: https://www.econbiz.de/10010547234