{"title":"关于最小跟踪误差组合估计的注释","authors":"Paulo Ferreira Naibert, J. Caldeira, A. P. Santos","doi":"10.12660/BRE.V40N12020.79437","DOIUrl":null,"url":null,"abstract":"Minimum tracking error portfolios are often implemented by portfolio managers in order to track the performance of a benchmark asset in terms of risk and return. This note provides an analytical derivation of the minimum tracking error portfolios of excess returns on a benchmark by relying on the regression-based approach to portfolio weights proposed in Kempf and Memmel (2006). This approach allows estimating the weights of the minimum tracking error portfolios by means of a simple OLS regression.","PeriodicalId":332423,"journal":{"name":"Brazilian Review of Econometrics","volume":"96 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2020-08-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"A note on the estimation of minimum tracking error portfolios\",\"authors\":\"Paulo Ferreira Naibert, J. Caldeira, A. P. Santos\",\"doi\":\"10.12660/BRE.V40N12020.79437\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Minimum tracking error portfolios are often implemented by portfolio managers in order to track the performance of a benchmark asset in terms of risk and return. This note provides an analytical derivation of the minimum tracking error portfolios of excess returns on a benchmark by relying on the regression-based approach to portfolio weights proposed in Kempf and Memmel (2006). This approach allows estimating the weights of the minimum tracking error portfolios by means of a simple OLS regression.\",\"PeriodicalId\":332423,\"journal\":{\"name\":\"Brazilian Review of Econometrics\",\"volume\":\"96 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-08-17\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Brazilian Review of Econometrics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.12660/BRE.V40N12020.79437\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Brazilian Review of Econometrics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.12660/BRE.V40N12020.79437","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
A note on the estimation of minimum tracking error portfolios
Minimum tracking error portfolios are often implemented by portfolio managers in order to track the performance of a benchmark asset in terms of risk and return. This note provides an analytical derivation of the minimum tracking error portfolios of excess returns on a benchmark by relying on the regression-based approach to portfolio weights proposed in Kempf and Memmel (2006). This approach allows estimating the weights of the minimum tracking error portfolios by means of a simple OLS regression.
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