Concepedia

Trade-off Between Tracking Error

Trade-Off Between Tracking Error is a theoretical construct in portfolio rebalancing that characterizes the inverse relationship between the frequency or magnitude of rebalancing interventions and the deviation of a portfolio’s performance from its benchmark, where reduced tracking error is typically achieved at the cost of higher transaction costs or operational complexity.

11

Publications

340

Citations

24

Authors

13

Institutions

Publications per year

2017–2026

3

Parents

Publications

11

A metaheuristic-based framework for index tracking with practical constraints

Man-Chung Yuen, Sin-Chun Ng, Man-Fai Leung et al. · Complex & Intelligent Systems · 2021 · 52 citations · Full text

, , +16

Portfolio Optimization with Constraints on Tracking Error

Philippe Jorion · 2002 · 45 citations

, , +16

When trackers are aware of ESG: Do ESG ratings matter to tracking error portfolio performance?

Aifan Ling, Junxue Li, Limin Wen et al. · Economic Modelling · 2023 · 44 citations

, , +8

Optimal tracking for asset allocation with fixed and proportional transaction costs

Stanley R. Pliska, Kiyoshi Suzuki · Quantitative Finance · 2004 · 42 citations

, , +17

Revisiting Core-Satellite Investing

Noël Amenc, Philippe Malaise, Lionel Martellini · The Journal of Portfolio Management · 2004 · 36 citations

, , +17

1–5 of 11

Authors

24

  1. SR
    Stanley R. Pliska

    University of Illinois Chicago, United States

    2 publications · 68 citations

    2

    h-index

  2. KS
    Kiyoshi Suzuki

    Nomura Holdings (Japan), Japan

    2 publications · 68 citations

    2

    h-index

  3. CA
    Carol Alexander

    University of Sussex, United Kingdom

    1 publications · 10 citations

    1

    h-index

  4. VK
    Vipul K. Bansal

    St. John's University, United States

    1 publications · 19 citations

    1

    h-index

  5. LW
    Limin Wen

    Xidian University, China

    1 publications · 44 citations

    1

    h-index

1–5 of 24

Institutions

13

  1. Nomura Holdings (Japan)

    Tokyo, Japan

    2 h-index

    2 publications

    68 citations

  2. University of Illinois Chicago

    Chicago, United States

    2 h-index

    2 publications

    68 citations

  3. St. John's University

    New York, United States

    1 h-index

    1 publications

    19 citations

  4. Aix-Marseille Université

    Marseille, France

    1 h-index

    1 publications

    24 citations

  5. Anglia Ruskin University

    Cambridge, United Kingdom

    1 h-index

    1 publications

    52 citations

  6. University of California, Irvine

    Irvine, United States

    1 h-index

    1 publications

    45 citations

  7. Universitat Politècnica de València

    Valencia, Spain

    1 h-index

    3 publications

    48 citations

  8. Erasmus University Rotterdam

    Rotterdam, The Netherlands

    1 h-index

    1 publications

    26 citations

1–8 of 13

Venues

  1. Quantitative Finance

    2 publications · 68 citations

    2

    h-index

  2. Financial Analysts Journal

    FAJ · 1 publications · 24 citations

    1

    h-index

  3. Global Finance Journal

    GFJ · 1 publications · 19 citations

    1

    h-index

  4. Journal of Sustainable Finance & Investment

    JSFI · 1 publications · 26 citations

    1

    h-index

  5. Journal of Business Economics and Management

    1 publications · 16 citations

    1

    h-index

1–5