Creating better tracking portfolios with quantiles
Tracking error is a ubiquitous tool among active and passive portfolio managers, widely used for fund selection, risk management, and manager compensation. This paper shows that traditional measures of the tracking error are incapable of detecting variations in skewness and kurtosis. As a solution,...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
LLC "CPC "Business Perspectives"
2022-01-01
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| Series: | Investment Management & Financial Innovations |
| Subjects: | |
| Online Access: | https://www.businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/16062/IMFI_2022_01_Aguilar.pdf |