Implementing stock selection ideas: Does tracking error optimization do any good? Expect less than the optimizer promises

Journal of Portfolio Management

Volumn 24, Issue 3, 1998, Pages 49-59

  Rohweder, Herold C ^a  

^a Allianz AG   (Germany)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0032019942     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.1998.49     Document Type: Article

References (7)

1. Beckers, S., G. Connor, and C. Ross. "National versus Global Influences on Equity Returns." Financial Analysts Journal, March/April 1996, pp. 31-39.
2. Grinold, R. "Alpha is Volatility times IC times Score." Journal of Portfolio Management, Summer 1994, pp. 9-16.
3. Grinold, R., and R. Kahn. Active Portfolio Management. Chicago: Probus Publishing Company, 1995.
4. Michaud, R.O. "The Markowitz Optimization Enigma: Is 'Optimized' Optimal?" Financial Analysts Journal, January/February 1989, pp. 31-42.
5. Muller, P. "Empirical Tests of Biases in Equity Portfolio Optimization." In S. Zenios, ed., Financial Optimization. Cambridge: Cambridge University Press, Chapter 4, pp. 80-98, 1989.
6. Rohweder, H. "Minimizing Variance Investing - des Kaisers neue Kleider?" Finanzmarkt und Portfolio Management, Vol. 1 (1995), pp. 111-127.
7. Winston, K. "The 'Efficient Index' and Prediction of Portfolio Variance." Journal of Portfolio Management, Spring 1993, pp. 27-34.