Financial Analysts Journal · 2010 · 24 citations · 9 references
Mathematical ProgrammingSeveral Desirable PropertiesPortfolio OptimizationEngineeringAsset PricingUncertainty QuantificationPortfolio AllocationManagementAsset AllocationPortfolio ManagementFinancial EngineeringRisk AversionPortfolio ChoiceFinanceTotal Portfolio VolatilityRisk-averse Optimization
Research has shown that adding constraints to total portfolio volatility can substantially improve the performance of managed portfolios. Although other work has considered constant tracking-error volatility frontiers, in this study tracking error was allowed to vary but the risk aversion was fixed. The resulting optimal portfolios have several desirable properties.
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Harry M. Markowitz · The Journal of Finance · 1952 · 4.4K citations
A Mean/Variance Analysis of Tracking Error
Richard Roll · The Journal of Portfolio Management · 1992 · 758 citations