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Quantitative Finance Volume 19, 2019 - Issue 3
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Features

Structural minimization of tracking error

Peter RossbachManagement Department, Frankfurt School of Finance & Management, Adickesallee 32-34, Frankfurt am Main60322, GermanyCorrespondence[email protected]
&
Denis KarlowManagement Department, Frankfurt School of Finance & Management, Adickesallee 32-34, Frankfurt am Main60322, Germany
Pages 357-366 | Received 26 Jul 2017, Accepted 14 Sep 2018, Published online: 13 Dec 2018
 
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Abstract

The structural tracking error minimization (STEM) approach produces stable tracking portfolios out-of-sample in the crucial investment period

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