Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5091030 | Journal of Banking & Finance | 2008 | 8 Pages |
Abstract
In the paper, we generalize the classical benchmark tracking problem by introducing the class of relative deviation metrics. We introduce an axiomatic description of the benchmark tracking problem and a classification inspired by the theory of probability metrics. Two examples of such metrics are provided and their in-sample behaviour is compared to the classical tracking error in a numerical example.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Stoyan V. Stoyanov, Svetlozar T. Rachev, Sergio Ortobelli, Frank J. Fabozzi,