Downside Risk in Multiperiod Tracking Error Models
نویسندگان
چکیده
منابع مشابه
Downside risk in multiperiod tracking error models
Declaring a benchmark for a manager allows to better define the risk profile of the fund and to evaluate the relative performance against the market (Jorion (2003)). The issue of attracting potential investors in a period of financial crisis and economic recession arise the challenge of designing products which are capable of attracting the interest of investors and highlights the need for clea...
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The recent crisis made it evident that replicating the performance of a benchmark is not a sufficient goal to meet the expectations of usually risk-averse investors. The manager should also consider that the investor are seeking for a downside protection when the benchmark performs poorly and thus they should integrate a form of downside risk control. We propose a multiperiod double tracking er...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.2118678