Estimation risk and the implicit value of index-tracking

DOI10.1080/14697688.2021.1959631zbMath1483.91213OpenAlexW3214066195MaRDI QIDQ5068090

Majeed Simaan, Brian Clark, N. Chanaka P. Edirisinghe

Publication date: 5 April 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2021.1959631

zbMATH Keywords

portfolio theoryshrinkagemean-variance analysistracking error

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (1)

Portfolio selection: a target-distribution approach

Cites Work

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• Common risk factors in the returns on stocks and bonds

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