Minimum Tracking Error Volatility

Preprint OPEN
Luca RICCETTI;
(2010)
  • 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
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