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Tracking error: Ex ante versus ex post measures

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
1992A Mean/Variance Analysis of Tracking Error747 cited
2017Active Portfolio Management463 cited
1999Modelling emerging market risk premia using higher moments239 cited
1999A linear model for tracking error minimization199 cited
2004How do UK‐based foreign exchange dealers think their market operates?174 cited
1994Tracking Errors, Regret, and Tactical Asset Allocation128 cited
1998Rationality testing under asymmetric loss98 cited
2002Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly69 cited
2000Market risk and the concept of fundamental volatility: Measuring volatility across asset and derivative markets and testing for the impact of derivatives markets on financial markets66 cited
1998Empirical Insights on Indexing64 cited

Cited by

2004Properties of realized variance for a pure jump process: calendar time sampling versus business time sampling43 cited
2003Tracking Error and Active Portfolio Management42 cited
2006Pricing multivariate currency options with copulas41 cited
2001

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Rethinking the forward premium puzzle in a non-linear framework

24 cited

2007Estimation of a microfounded herding model on German survey expectations20 cited