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Another Look at Portfolio Optimization under Tracking-Error Constraints

Author

Listed:
  • Philippe Bertrand

    (CERGAM - Centre d'Études et de Recherche en Gestion d'Aix-Marseille - AMU - Aix Marseille Université - UTLN - Université de Toulon)

Abstract

No abstract is available for this item.

Suggested Citation

  • Philippe Bertrand, 2010. "Another Look at Portfolio Optimization under Tracking-Error Constraints," Post-Print hal-01833085, HAL.
    • Handle: RePEc:hal:journl:hal-01833085
    DOI: 10.2469/faj.v66.n3.2
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    Cited by:

    1. Michael Maxwell & Michael Daly & Daniel Thomson & Gary van Vuuren, 2018. "Optimizing tracking error-constrained portfolios," Applied Economics, Taylor & Francis Journals, vol. 50(54), pages 5846-5858, November.
    2. Giulio PALOMBA & Luca RICCETTI, 2013. "Asset Management with TEV and VaR;Constraints: the Constrained Efficient;Frontiers," Working Papers 392, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    3. 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.
    4. Paskalis Glabadanidis & Leon Zolotoy, 2013. "Benchmark replication portfolio strategies," Journal of Asset Management, Palgrave Macmillan, vol. 14(2), pages 95-110, April.
    5. Wade Gunning & Gary van Vuuren, 2019. "Exploring the drivers of tracking error constrained portfolio performance," Cogent Economics & Finance, Taylor & Francis Journals, vol. 7(1), pages 1684181-168, January.
    6. du Sart, Colin F. & van Vuuren, Gary W., 2021. "Comparing the performance and composition of tracking error constrained and unconstrained portfolios," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 276-287.
    7. L. Theron & G. van Vuuren, 2020. "Exploring the Behaviour of Actively Managed, Maximally Diversified Portfolios," Studies in Economics and Econometrics, Taylor & Francis Journals, vol. 44(2), pages 49-72, August.

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