Jackknife estimator for tracking error variance of optimal portfolios

Management Science

Volumn 55, Issue 6, 2009, Pages 990-1002

  Basak, Gopal K ^a   Jagannathan, Ravi ^b   Ma, Tongshu ^c  

^a INDIAN STATISTICAL INSTITUTE   (India)

^b NORTHWESTERN UNIVERSITY   (United States)

^c BINGHAMTON UNIVERSITY   (United States)

Author keywords

Jackknife; Minimum risk portfolios; Tracking error

Indexed keywords

CONDITIONAL VARIANCE; JACKKNIFE; MINIMUM-RISK PORTFOLIOS; OPTIMAL PORTFOLIOS; TRACKING ERROR; TRACKING ERRORS;

RISK PERCEPTION;

ESTIMATION;

EID: 67651122794     PISSN: 00251909     EISSN: 15265501     Source Type: Journal    
DOI: 10.1287/mnsc.1090.1001     Document Type: Article

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