A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1
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下载链接：
https://www.nber.org/papers/w10447
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资源简介：
We develop a jackknife estimator for the conditional variance of a minimum-tracking- error-variance portfolio constructed using estimated covariances. We empirically evaluate the performance of our estimator using an optimal portfolio of 200 stocks that has the lowest tracking error with respect to
提供机构：
美国国家经济研究局
创建时间：
2004-04-01
