Another Look at Portfolio Optimization under Tracking-Error Constraints
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Publisher
Elsevier BV
Reference9 articles.
1. Optimisation de portefeuille sous contrainte de variance de la tracking-error;Ph Bertrand;Banque & March�s, no,2001
2. Efficiency, Risk Aversion and Portfolio Insurance: An Analysis of Financial Asset Portfolios Held by Investors in the United Kingdom;David Blake;The Economic Journal,1996
3. Option-Implied Risk Aversion Estimates;Robert R Bliss;Journal of Finance,2004
4. Estimating expected excess returns using historical and option-implied volatility;Charles J Corrado;Journal of Financial Research,2006
5. Owner-Occupied Housing and the Composition of the Household Portfolio;Marjorie Flavin;American Economic Review,2002
Cited by 3 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Risk-adjusted performance attribution and portfolio optimisations under tracking-error constraints;Journal of Asset Management;2009-05-28
2. Risk Attribution and Portfolio Optimizations Under Tracking-Error Constraints;SSRN Electronic Journal;2008
3. Risk-Adjusted Performance Attribution and Portfolio Optimizations Under Tracking-Error Constraints;SSRN Electronic Journal;2008
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