Feasible portfolios under tracking error, β, α and utility constraints
The investment nous of active managers is judged on their ability to outperform specified benchmarks while complying with strict constraints on, for example, tracking errors, β and Value at Risk. Tracking error constraints give rise to a tracking error frontier – an ellipse in risk/return space whic...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
LLC "CPC "Business Perspectives"
2018-02-01
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| Series: | Investment Management & Financial Innovations |
| Subjects: | |
| Online Access: | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/10019/imfi_2018_01_Daly.pdf |