Relative deviation metrics and the problem of strategy replication

Stoyan V. Stoyanov, Svetlozar T. Rachev, Sergio Ortobelli and Frank Fabozzi ()

Journal of Banking & Finance, 2008, vol. 32, issue 2, 199-206

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.

Date: 2008
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:32:y:2008:i:2:p:199-206

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