Alexander, Gordon J.; Baptista, Alexandre M. - In: Journal of Economic Dynamics and Control 32 (2008) 3, pp. 779-820
We examine the impact of adding a value-at-risk (VaR) constraint to the problem of an active manager who seeks to outperform a benchmark while minimizing tracking error variance (TEV) by using the model of Roll [1992. A mean/variance analysis of tracking error. Journal of Portfolio Management...
