A note on the estimation of minimum tracking error portfolios

Paulo Ferreira Naibert, João F. Caldeira and Andre Santos ()

Brazilian Review of Econometrics, 2020, vol. 40, issue 1

Abstract: Minimum tracking error portfolios are often implemented by portfolio managers in order totrack the performance of a benchmark asset in terms of risk and return. This note providesan analytical derivation of the minimum tracking error portfolios of excess returns on abenchmark by relying on the regression-based approach to portfolio weights proposed inKempf and Memmel (2006). This approach allows estimating the weights of the minimumtracking error portfolios by means of a simple OLS regression.

Date: 2020
References: Add references at CitEc
Citations:

Downloads: (external link)
https://periodicos.fgv.br/bre/article/view/79437 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sbe:breart:v:40:y:2020:i:1:a:79437

Access Statistics for this article

Brazilian Review of Econometrics is currently edited by Daniel Monte

More articles in Brazilian Review of Econometrics from Sociedade Brasileira de Econometria - SBE Contact information at EDIRC.
Bibliographic data for series maintained by Núcleo de Computação da FGV EPGE ().