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Portfolio Optimization Under Tracking Error And Weights Constraints

Author

Listed:
  • Isabelle Bajeux‐Besnainou
  • Riadh Belhaj
  • Didier Maillard
  • Roland Portait

Abstract

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Suggested Citation

  • Isabelle Bajeux‐Besnainou & Riadh Belhaj & Didier Maillard & Roland Portait, 2011. "Portfolio Optimization Under Tracking Error And Weights Constraints," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 34(2), pages 295-330, June.
    • Handle: RePEc:bla:jfnres:v:34:y:2011:i:2:p:295-330
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    Cited by:

    1. Riccardo Lucchetti & Mihaela Nicolau & Giulio Palomba & Luca Riccetti, 2022. "Reconciling TEV and VaR in Active Portfolio Management: A New Frontier," Working Papers 461, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    2. Sarantsev, Andrey, 2021. "Optimal portfolio with power utility of absolute and relative wealth," Statistics & Probability Letters, Elsevier, vol. 179(C).
    3. de Paulo, Wanderlei Lima & de Oliveira, Estela Mara & do Valle Costa, Oswaldo Luiz, 2016. "Enhanced index tracking optimal portfolio selection," Finance Research Letters, Elsevier, vol. 16(C), pages 93-102.
    4. Palomba, Giulio & Riccetti, Luca, 2012. "Portfolio frontiers with restrictions to tracking error volatility and value at risk," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2604-2615.
    5. Mehmet Caner & Qingliang Fan & Yingying Li, 2024. "Navigating Complexity: Constrained Portfolio Analysis in High Dimensions with Tracking Error and Weight Constraints," Papers 2402.17523, arXiv.org.

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