Hallerbach, Winfried; Pouchkarev, Pouchkarev, I. - Erasmus Research Institute of Management (ERIM), … - 2005
benchmark. The manager’s exposure to risk is controlled by means of a tracking error volatility constraint. It depends on market … conditions whether this constraint is easily met or violated. Moreover, the performance of the portfolio depends on market … portfolio opportunity set depends on contemporary market dynamics. To correct for this, we suggest a normalized version of the …