Far East Journal of Theoretical Statistics
Volume 46, Issue 1, Pages 63 - 73
(January 2014)
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THE SAMPLING ERRORS IN ESTIMATING THE TRACKING ERROR FRONTIER
Wan-Yi Chiu
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Abstract: We study a regression-based estimation of the tracking error frontier under the normality assumption. In terms of the sample efficient set constants, we document a lower tracking error variance than the traditional plug-in estimator. Furthermore, our approach provides significant computation benefits for tracing out the tracking error frontier in the mean-variance plane. |
Keywords and phrases: tracking error frontier, mean-variance analysis, efficient constants, tangency portfolio, minimum-variance portfolio. |
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