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Search: subject:"Tracking error volatility"
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tracking error volatility
4
asset allocation
3
Capital income
2
Kapitaleinkommen
2
Portfolio selection
2
Portfolio-Management
2
Theorie
2
Theory
2
Tracking error volatility
2
Volatility
2
Volatilität
2
portfolio frontiers
2
value at risk
2
Asset allocation
1
Benchmarking
1
Correlation
1
Emerging markets
1
Estimation
1
Factor analysis
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Faktorenanalyse
1
Idiosyncratic risk
1
Korrelation
1
Portfolio frontiers
1
Portfolio management
1
Risikomaß
1
Risk attribution
1
Risk management
1
Risk measure
1
Schätzung
1
Statistical error
1
Statistischer Fehler
1
Tracking error volatility (TEV)
1
Value at risk (VaR)
1
Value-at-Risk
1
active management
1
benchmarking
1
commissions
1
correlation
1
efficient portfolio frontiers
1
fee levels
1
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Palomba, Giulio
4
Riccetti, Luca
4
Angelidis, Timotheos
1
Lucchetti, Riccardo
1
Ma, Juan
1
Nicolau, Mihaela
1
RICCETTI, Luca
1
Zhang, Jubao
1
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Dipartimento di Scienze Economiche e Sociali, Facoltà di Economia "Giorgio Fuà"
2
Department of Economics, University of Peloponnese
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Working Papers / Dipartimento di Scienze Economiche e Sociali, Facoltà di Economia "Giorgio Fuà"
2
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RePEc
5
ECONIS (ZBW)
2
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1
Reconciling TEV and VaR in active portfolio management : a new frontier
Lucchetti, Riccardo
;
Nicolau, Mihaela
;
Palomba, Giulio
; …
-
2022
Persistent link: https://www.econbiz.de/10013330699
Saved in:
2
Contribution to portfolio
tracking
error
volatility
with geometric illustration
Zhang, Jubao
;
Ma, Juan
- In:
Applied economics letters
31
(
2024
)
20
,
pp. 2176-2181
Persistent link: https://www.econbiz.de/10015095156
Saved in:
3
Asset Management with TEV and VaR;Constraints: the Constrained Efficient;Frontiers
Palomba, Giulio
;
RICCETTI, Luca
-
Dipartimento di Scienze Economiche e Sociali, Facoltà …
-
2013
when a
tracking
error
volatility
(TEV) constraint holds. First, we define the TEV Constrained-Efficient Frontier (ECTF), a …
Persistent link: https://www.econbiz.de/10010699663
Saved in:
4
Portfolio Frontiers with Restrictions to
Tracking
Error
Volatility
and Value at Risk
Palomba, Giulio
;
Riccetti, Luca
-
Dipartimento di Scienze Economiche e Sociali, Facoltà …
-
2011
tracking
error
volatility
(TEV) under control. However, these constraints can not always be simultaneously satisfied because …
Persistent link: https://www.econbiz.de/10009143694
Saved in:
5
Idiosyncratic Risk in Emerging Markets
Angelidis, Timotheos
-
Department of Economics, University of Peloponnese
-
2008
component of
tracking
error
volatility
and it does not exhibit either an upward or a downward trend. Thus, investors do not have …
Persistent link: https://www.econbiz.de/10004988919
Saved in:
6
Using
tracking
error
volatility
to check active management and fee level of investment funds
Riccetti, Luca
- In:
Global Business and Economics Review
14
(
2012
)
3
,
pp. 139-158
The risk management department usually imposes to asset managers a maximum value of the
tracking
error
volatility
(TEV …
Persistent link: https://www.econbiz.de/10010816573
Saved in:
7
Portfolio frontiers with restrictions to
tracking
error
volatility
and value at risk
Palomba, Giulio
;
Riccetti, Luca
- In:
Journal of Banking & Finance
36
(
2012
)
9
,
pp. 2604-2615
tracking
error
volatility
(TEV) under control. However, these constraints may be impossible to satisfy simultaneously because …
Persistent link: https://www.econbiz.de/10010599670
Saved in:
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