In this paper we investigate the relation between statistical tracking error measures and assetallocation restrictions expressed as admissible weight ranges. Typically, tracking errors arecalculated as annual standard deviations of return differentials between tracking portfolio andbenchmark. In...

We report our investigation of the relationship between statistical measures of tracking error and asset allocation restrictions expressed as admissible weight ranges. Tracking errors are typically calculated as annualized second moments of return differentials between a portfolio and a...

Asymmetric portfolio insurance strategies have become increasingly popular in practice. We show that a combination of investments in bonds and call options allows for more flexible strategies than the traditional portfolio insurance based on investments in put options and their underlying...