Exploring the Behaviour of Actively Managed, Maximally Diversified Portfolios
Author:
Affiliation:
1. Postgraduate student, School of Economics, Department of Risk Management, North-West University, Potchefstroom Campus, South Africa.
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/10800379.2020.12097362
Reference31 articles.
1. An Alternative Method of Stochastic Optimization: The Portfolio Model
2. Tracking Error and Tactical Asset Allocation
3. A note on portfolio performance attribution: Taking risk into account
4. Risk-adjusted performance attribution and portfolio optimisations under tracking-error constraints
5. Another Look at Portfolio Optimization under Tracking-Error Constraints
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