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Another Look at Portfolio Optimization under Tracking-Error Constraints


  • Philippe Bertrand

    () (CERGAM - Centre d'√Čtudes et de Recherche en Gestion d'Aix-Marseille - AMU - Aix Marseille Universit√© - UTLN - Universit√© de Toulon)


No abstract is available for this item.

Suggested Citation

  • Philippe Bertrand, 2010. "Another Look at Portfolio Optimization under Tracking-Error Constraints," Post-Print hal-01833085, HAL.
  • Handle: RePEc:hal:journl:hal-01833085
    DOI: 10.2469/faj.v66.n3.2
    Note: View the original document on HAL open archive server:

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    Cited by:

    1. 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.
    2. Giulio PALOMBA & Luca RICCETTI, 2013. "Asset Management with TEV and VaR;Constraints: the Constrained Efficient;Frontiers," Working Papers 392, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    3. 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.

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