Relative deviation metrics and the problem of strategy replication
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.
Year of publication: |
2008
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Authors: | Stoyanov, Stoyan V. ; Rachev, Svetlozar T. ; Ortobelli, Sergio ; Fabozzi, Frank J. |
Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 32.2008, 2, p. 199-206
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Publisher: |
Elsevier |
Saved in:
Online Resource
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