Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Ortobelli, Sergio - In: Journal of Banking & Finance 32 (2008) 2, pp. 199-206
In the paper, we generalize the classical benchmark tracking problem by introducing the class of relative deviation metrics. We introduce an axiomatic description of the benchmark tracking problem and a classification inspired by the theory of probability metrics. Two examples of such metrics...