Bridge over ocean
1 May 2010 Financial Analysts Journal Volume 66, Issue 3

Another Look at Portfolio Optimization under Tracking-Error Constraints

  1. Philippe Bertrand

Research has shown that adding constraints to total portfolio volatility can substantially improve the performance of managed portfolios. Although other work has considered constant tracking-error volatility frontiers, in this study tracking error was allowed to vary but the risk aversion was fixed. The resulting optimal portfolios have several desirable properties.

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