Open AccessTracking-Error Models for Multiple Benchmarks: Theory and Empirical Performance
Author(s) -
Yunchao Xu,
Zhichao Zheng,
Karthik Natarajan,
ChungPiaw Teo
Publication year - 2012
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.2783637
Subject(s) - portfolio , benchmark (surveying) , tracking error , computer science , rate of return on a portfolio , portfolio optimization , sharpe ratio , mathematical optimization , post modern portfolio theory , sampling (signal processing) , econometrics , replicating portfolio , mathematics , artificial intelligence , economics , finance , control (management) , geodesy , filter (signal processing) , computer vision , geography
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