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Tracking error: Ex ante versus ex post measures · Study

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ArticleTracking error: Ex ante versus ex post measures

SE Satchell2001

OA

Articlegreen2001

Tracking error: Ex ante versus ex post measures

SE Satchell · Soosung Hwang

58 citations·0/0 files stored·Journal of Asset Management

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Risk and Portfolio Optimization

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1992A Mean/Variance Analysis of Tracking Error 2017Active Portfolio Management 1999Modelling emerging market risk premia using higher moments 1999A linear model for tracking error minimization 2004How do UK‐based foreign exchange dealers think their market operates?1994Tracking Errors, Regret, and Tactical Asset Allocation 1998Rationality testing under asymmetric loss

Cited by

2004Properties of realized variance for a pure jump process: calendar time sampling versus business time sampling 2006Pricing multivariate currency options with copulas 2001Rethinking the forward premium puzzle in a non-linear framework 2007Estimation of a microfounded herding model on German survey expectations

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2004Properties of realized variance for a pure jump process: calendar time sampling versus business time samplingreport · 5 shared references 2006Pricing multivariate currency options with copulasreport · 5 shared references 2001Rethinking the forward premium puzzle in a non-linear frameworkreport · 5 shared references 2007Estimation of a microfounded herding model on German survey expectationspreprint · 5 shared references 2002The Threshold Accepting Heuristic for Index Trackingchapter · 4 shared references 2001Tracking Error and Tactical Asset Allocationarticle · 4 shared references

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Year2001

Typearticle

Published2001-12-01

VenueJournal of Asset Management

ISSN-L1470-8272

Languageen

Citations58

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1057/palgrave.jam.2240049

openalex_workW2005679890

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