IDEAS home Printed from https://ideas.repec.org/a/bpj/strimo/v24y2006i1p189-207n9.html
   My bibliography  Save this article

Mean-risk optimization for index tracking

Author

Listed:
  • Nakano Yumiharu

Abstract

This paper presents an analysis of the tracking problems of multiple indices with multidimensional performance criterion consisting of mean wealth and the tracking errors. We evaluate the performance of portfolios via the vector inequalities defined by convex cones, which enable us to describe various preference relations for investors. In Brownian market models with deterministic coefficients, we completely determine the set of efficient portfolios as well as the efficient frontier in our context. As a product of our analysis, we exhibit a version of Tobin's mutual fund theorem.

Suggested Citation

  • Nakano Yumiharu, 2006. "Mean-risk optimization for index tracking," Statistics & Risk Modeling, De Gruyter, vol. 24(1), pages 189-207, July.
    • Handle: RePEc:bpj:strimo:v:24:y:2006:i:1:p:189-207:n:9
    DOI: 10.1524/stnd.2006.24.1.189
    as

    Download full text from publisher

    File URL: https://doi.org/10.1524/stnd.2006.24.1.189
    Download Restriction: For access to full text, subscription to the journal or payment for the individual article is required.
    File URL: https://libkey.io/10.1524/stnd.2006.24.1.189?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    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:bpj:strimo:v:24:y:2006:i:1:p:189-207:n:9. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Peter Golla (email available below). General contact details of provider: https://www.degruyter.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.