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Portfolio Optimization Under Tracking Error and Weights Constraints
2007
Social Science Research Network
We thank Alexandre Baptista for useful comments. Abstract This article addresses the problem of an active portfolio manager whose performances are assessed against a benchmark and who must comply with a weights constraint. This situation is frequently encountered, in particular because the funds are often committed by their own prospectus to a minimum (or maximum) portfolio concentration. We characterize the optimal asset allocation which depends on the targeted ex ante Tracking Error and on
doi:10.2139/ssrn.963997
fatcat:ngo5eelcbnap7ovj3v5jck6fei