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• W2056115440 abstract "Persistent bear market conditions have led to a shift of focus in the tracking error literature. Until recently the portfolio allocation literature focused on tracking error minimization as a consequence of passive benchmark management under portfolio weights, transaction costs and short selling constraints. Abysmal benchmark performance shifted the literature's focus towards active portfolio strategies that aim at beating the benchmark while keeping tracking error within acceptable bounds. We investigate an active (dynamic) portfolio allocation strategy that exploits the predictability in the conditional variance-covariance matrix of asset returns. To illustrate our procedure we use Jorion's (2002) tracking error frontier methodology. We apply our model to a representative portfolio of Australian stocks over the period January 1999 through November 2002." @default.
• W2056115440 created "2016-06-24" @default.
• W2056115440 creator A5014347072 @default.
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• W2056115440 date "2003-09-01" @default.
• W2056115440 modified "2023-10-02" @default.
• W2056115440 title "Tracking Error and Active Portfolio Management" @default.
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• W2056115440 doi "https://doi.org/10.1177/031289620302800204" @default.
• W2056115440 hasPublicationYear "2003" @default.
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