Optimizing tracking error-constrained portfolios
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DOI: 10.1080/00036846.2018.1488069
Abstract: ABSTRACT Active portfolios subject to tracking error (TE) constraints are the typical setup for active managers tasked with outperforming a benchmark. The risk and return relationship of such constrained portfolios is described by an ellipse… read more here.
Keywords: risk; portfolio; constrained portfolios; tracking error ... See more keywords