Minimum Tracking Error Volatility

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  • Subject: Active Management, Benchmarking, Commissions, Portfolio Choice, Risk Management, Tracking Error
    • jel: jel:G23 | jel:G11 | jel:G10 | jel:C61

Investors assign part of their funds to asset managers that are given the task of beating a benchmark. The risk management department usually imposes a maximum value of the tracking error volatility (TEV) in order to keep the risk of the portfolio near to that of the se... View more
  • References (46)
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