Active Investment Strategies under Tracking Error Constraints
Author
Abstract
Suggested Citation
DOI: 10.1007/s11294-019-09746-3
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Philippe Bertrand, 2005.
"A note on portfolio performance attribution: Taking risk into account,"
Journal of Asset Management, Palgrave Macmillan, vol. 5(6), pages 428-437, April.
- Philippe Bertrand, 2005. "A Note on Portfolio Performance Attribution: Taking Risk into Account," Post-Print hal-01833107, HAL.
- Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2018.
"Estimation of the global minimum variance portfolio in high dimensions,"
European Journal of Operational Research, Elsevier, vol. 266(1), pages 371-390.
- Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2014. "Estimation of the Global Minimum Variance Portfolio in High Dimensions," Papers 1406.0437, arXiv.org, revised Nov 2015.
- 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.
- Cheng, Pao Lun, 1971. "Efficient Portfolio Selections beyond the Markowitz Frontier," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(5), pages 1207-1234, December.
- Lynda S. Livingston, 2013. "Intraportfolio Correlation: An Application For Investments Students," Business Education and Accreditation, The Institute for Business and Finance Research, vol. 5(1), pages 91-105.
- repec:dau:papers:123456789/4688 is not listed on IDEAS
- Philippe Bertrand, 2005. "A note on portfolio performance attribution: Taking risk into account," Post-Print hal-01833048, HAL.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- 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.
- Ibrahim Filiz & Jan René Judek & Marco Lorenz & Markus Spiwoks, 2021. "Sticky Stock Market Analysts," JRFM, MDPI, vol. 14(12), pages 1-27, December.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- 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.
- 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.
- 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.
- Philippe Bertrand, 2009.
"Risk-adjusted performance attribution and portfolio optimisations under tracking-error constraints,"
Journal of Asset Management, Palgrave Macmillan, vol. 10(2), pages 75-88, June.
- Philippe Bertrand, 2009. "Risk-adjusted performance attribution and portfolio optimisations under tracking-error constraints," Post-Print hal-01833079, HAL.
- Maciel, Leandro, 2021. "A new approach to portfolio management in the Brazilian equity market: Does assets efficiency level improve performance?," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 38-56.
- Bodnar, Taras & Parolya, Nestor & Thorsén, Erik, 2023.
"Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?,"
Finance Research Letters, Elsevier, vol. 54(C).
- Taras Bodnar & Nestor Parolya & Erik Thors'en, 2021. "Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?," Papers 2111.12532, arXiv.org.
- Bodnar, Taras & Okhrin, Ostap & Parolya, Nestor, 2019.
"Optimal shrinkage estimator for high-dimensional mean vector,"
Journal of Multivariate Analysis, Elsevier, vol. 170(C), pages 63-79.
- Taras Bodnar & Ostap Okhrin & Nestor Parolya, 2016. "Optimal Shrinkage Estimator for High-Dimensional Mean Vector," Papers 1610.09292, arXiv.org, revised Jul 2018.
- Chavez-Bedoya, Luis & Rosales, Francisco, 2021. "Reduction of estimation risk in optimal portfolio choice using redundant constraints," International Review of Financial Analysis, Elsevier, vol. 78(C).
- Taras Bodnar & Solomiia Dmytriv & Nestor Parolya & Wolfgang Schmid, 2017. "Tests for the weights of the global minimum variance portfolio in a high-dimensional setting," Papers 1710.09587, arXiv.org, revised Jul 2019.
- Ruili Sun & Tiefeng Ma & Shuangzhe Liu & Milind Sathye, 2019. "Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review," JRFM, MDPI, vol. 12(1), pages 1-34, March.
- Tingting Yang & Xiaoxia Huang, 2022. "A New Portfolio Optimization Model Under Tracking-Error Constraint with Linear Uncertainty Distributions," Journal of Optimization Theory and Applications, Springer, vol. 195(2), pages 723-747, November.
- 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.
- Bodnar, Taras & Mazur, Stepan & Okhrin, Yarema, 2017. "Bayesian estimation of the global minimum variance portfolio," European Journal of Operational Research, Elsevier, vol. 256(1), pages 292-307.
- Bauder, David & Bodnar, Taras & Mazur, Stepan & Okhrin, Yarema, 2018. "Bayesian inference for the tangent portfolio," Working Papers 2018:2, Örebro University, School of Business.
- Taras Bodnar & Solomiia Dmytriv & Yarema Okhrin & Nestor Parolya & Wolfgang Schmid, 2020. "Statistical inference for the EU portfolio in high dimensions," Papers 2005.04761, arXiv.org.
- Caldeira, João F. & Santos, André A.P. & Torrent, Hudson S., 2023. "Semiparametric portfolios: Improving portfolio performance by exploiting non-linearities in firm characteristics," Economic Modelling, Elsevier, vol. 122(C).
- Taras Bodnar & Nestor Parolya & Erik Thorsen, 2021. "Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio," Papers 2106.02131, arXiv.org, revised Nov 2021.
- Michael D. Mattei, 2018. "Enhanced Portfolio Performance Using a Momentum Approach to Annual Rebalancing," IJFS, MDPI, vol. 6(1), pages 1-9, February.
- Bongiorno, Christian & Challet, Damien, 2023.
"Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimization,"
Finance Research Letters, Elsevier, vol. 52(C).
- Christian Bongiorno & Damien Challet, 2021. "Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimisation," Papers 2112.07521, arXiv.org, revised Oct 2022.
- Taras Bodnar & Yarema Okhrin & Nestor Parolya, 2022.
"Optimal Shrinkage-Based Portfolio Selection in High Dimensions,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(1), pages 140-156, December.
- Taras Bodnar & Yarema Okhrin & Nestor Parolya, 2016. "Optimal shrinkage-based portfolio selection in high dimensions," Papers 1611.01958, arXiv.org, revised Nov 2021.
More about this item
Keywords
Tracking error frontier; Optimal portfolios; Investment constraints;All these keywords.
JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:iaecre:v:25:y:2019:i:3:d:10.1007_s11294-019-09746-3. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.