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Jackknife estimator for tracking error variance of optimal portfolios

Basak, Gopal Krishna; Jagannathan, Ravi; Ma, Tongshu - In: Management science : journal of the Institute for … 55 (2009) 6, pp. 990-1002

Persistent link: https://www.econbiz.de/10003865939

Aportfolio based theory of excessive foreign borrowing and capital control in a small open economy

Marjit, Sugata; Pranab Kumar Das; Bardhan, Samaresh - In: Research in international business and finance 21 (2007) 2, pp. 175-187

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Assessing the risk in sample minimum risk portfolios

Basak, Gopal K.; Jagannathan, Ravi; Ma, Tongshu - 2004

Persistent link: https://www.econbiz.de/10002039152

A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1

Basak, Gopal K. - 2004

We develop a jackknife estimator for the conditional variance of a minimum-tracking- error-variance portfolio constructed using estimated covariances. We empirically evaluate the performance of our estimator using an optimal portfolio of 200 stocks that has the lowest tracking error with respect...

Persistent link: https://www.econbiz.de/10012468246