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latestOpenAPI 3.0.1Apache 2.02026-07-2623201.3 MB

Portfolio Analysis / Risk Measures

Empirical Tracking Error

Compute the empirical tracking error between a portfolio and a benchmark.

References

Konstantinos Benidis; Yiyong Feng; Daniel P. Palomar, Optimization Methods for Financial Index Tracking: From Theory to Practice , now, 2018.

post/portfolios/analysis/empirical-tracking-error

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