Structural minimization of tracking error

Peter Roßbach and Denis Karlow

Quantitative Finance, 2019, vol. 19, issue 3, 357-366

Abstract: The structural tracking error minimization (STEM) approach produces stable tracking portfolios out-of-sample in the crucial investment period

Date: 2019
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DOI: 10.1080/14697688.2018.1527036

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