Portfolio frontiers with restrictions to tracking error volatility and value at risk

► We focus on portfolio frontiers in presence of TEV and VaR restrictions. ► We provide analytical solutions for the intersections between portfolio frontiers. ► We introduce a new portfolio frontier: the Fixed VaR-TEV Frontier (FVTF). ► Maximum TEV and maximum VaR are compatible when the related frontiers intersect. ► We show that a trade off between absolute and relative risk arises.