Today, the use of a benchmark portfolio is common practice in the financial management industry. This setup allows the investor to evaluate the added value in line with the risks undertaken. But the relevant concept of risk is relative risk as defined by tracking-error volatility.The problem of...

This paper examines some properties of optimal portfolio positioning that are linked with the risk aversion and the prudence of the investor. It introduces the ratio of the degree of absolute prudence on the absolute risk aversion. This one allows the analysis of the degree of...

This paper examines whether the risk-adjusted performance attribution process is consistent with portfolio optimization under tracking-error constraints. Since Mina (2003), Bertrand (2005) and Menchero and Hu (2006), risk attribution has been widely used in the performance attribution...