Alpha Tracking Error Optimization
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Tracking Error Minimization
Financial Toolbox Examples Functions and Other Reference Release Notes PDF Documentation tracking error volatility Portfolio Optimization and Asset Allocation Portfolio Analysis Active Returns and Tracking Error Efficient Frontier On this page
Tracking Error Interpretation
See Also Related Examples More About External Websites This is machine translation Translated by Mouse over text to see original. Click the button below to return ex ante tracking error to the English verison of the page. Back to English × Translate This Page Select Language Bulgarian Catalan Chinese Simplified Chinese Traditional Czech Danish Dutch English Estonian Finnish French German Greek Haitian Creole Hindi Hmong Daw Hungarian Indonesian Italian Japanese Korean Latvian Lithuanian Malay Maltese Norwegian Polish Portuguese Romanian Russian Slovak Slovenian Spanish Swedish Thai tracking error formula Turkish Ukrainian Vietnamese Welsh MathWorks Machine Translation The automated translation of this page is provided by a general purpose third party translator tool. MathWorks does not warrant, and disclaims all liability for, the accuracy, suitability, or fitness for purpose of the translation. Translate Active Returns and Tracking Error Efficient FrontierSuppose that you want to identify an efficient set of portfolios that minimize the variance of the difference in returns with respect to a given target portfolio, subject to a given expected excess return. The mean and standard deviation of this excess return are often called the active return and active risk, respectively. Active risk is sometimes referred to as the tracking error. Since the objective is to track a given target portfolio as closely as possible, the resulting set of portfolios is sometimes referred to as the tracking error efficient frontier.Specifically, assume that the target portfolio is expressed as an index weight vector, such that the index return series may be expressed as
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