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 …

We propose a method to combine N portfolio strategies by optimizing a given utility function
U (⋅) U (·). The method does not rely on any distributional assumption, could be easily …

I develop a multi-account alpha-tracking error framework that simultaneously optimizes
across an investor's multiple accounts with different tax treatments, existing holdings, tax …

Key theories of financial economics seem to be at odds with one another and with observed
personalized portfolios. The Popularity Asset Pricing Model serves as a unifying theory by …

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

The benchmark investment strategy of a pension fund typically consists of a number of
benchmark categories, each of which is assigned a weight in the overall investment budget …

This empirical study investigates the ability of exchange-traded funds (ETFs) to replicate the
risk-return characteristics of their respective benchmarks accurately. By decomposing ex …

Since first introduced by Sharpe (1988, 1992) as a method to determine the effective asset
mix of a mutual fund, return-based style analysis (RBSA hereafter) has become a popular …

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

This paper proposes a method to overcome the classical drawbacks of the Monte Carlo
methods for the asset allocation, namely resampling, deeply dependent upon the …