A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2014; you can also visit the original URL.
The file type is
quadratic tracking approach. Referring to Roll, the procedure can be labelled as tracking error-variance (TEV) optimisation. Recently, Chow (1995) proposed a target function, which includes both an EV and a TEV component. Previous work on tracking approaches • Has neither given a theoretical justification nor a model to investors' tracking behaviour; • Has not made clear as to whether focus in the target function should lie on the TEV or on the TEV and EV criterion; and • An analytical solutiondoi:10.2139/ssrn.239482 fatcat:4yuidmi4tbagdosxvo4atyhpli