This paper addresses the well-documented tracking error (TE) symmetry issue that undermines traditional benchmark-driven equity portfolio allocation processes. We first demonstrate how a base-case TE-driven strategy could be merely adjusted in order to work out the TE symmetry problem. The...

This paper undertakes the issue of portfolio insurance from the perspective of a risk-averse agent requiring his financial wealth to grow at a floored rate in excess of an equity benchmark. The suggested solution is a generalization of the CPPI approach within a two-equity asset framework. The...