Asset allocation has long been viewed as a safe bet for reducing risk in a portfolio. Asset
allocators strive to buy when prices are low and sell when prices rise. Tactical asset …

In this paper we show that ex ante and ex post tracking errors must necessarily differ, since
portfolio weights are ex post stochastic in nature. In particular, ex post tracking error is …

This paper explains how prospect theory can be applied to fund performance, extending
work by Darsinos and Satchell (Generalising Universal Performance Measures', Risk, 17 (6) …

An index fund is a mutual fund that aims to imitate some benchmark index. There are several
advantages of investing in an index fund, namely, exposure to a diversified portfolio …

There is compelling evidence that typical decision‐makers, including individual investors
and even professional money managers, care about the difference between their portfolio …

Portfolio performance is usually evaluated against a prespecified benchmark portfolio. One
most frequently used measure is tracking error (TE), sometimes defined as differences …

Basically two processes characterize many quantitative active investment strategies:
forecasting-the use of quantitative models for predicting future returns of financial assets-and …

In an age of constant information flow, investors have to strike the right balance between
incorporating incremental information into a portfolio and managing turnover before the end …

This paper is dedicated to show how a proper conditioning of information may lead to a
significant improvement of optimization programs, in a tactical asset allocation framework …

This paper analyzes quantitative active strategies based on forecasting models and mean-
variance optimization. The central concept in our analysis is pairwise strategy. We …