Hi Carol,This is interesting. Almost every paper on index tracking I read consider using somethinglike MATE or TEVM. A notable difference is the paper of Rockafellar & Uryasev where theminimisation of the active return is constrained by a CVaR of the risk. paper linkFarid.
<t>Carol,I come back again about your benchmark tracking problem (II.5.4.6). On one side, you explained whywe don't have to use the variance of tracking error to conduct the tracking process. On the otherside, as you explained in the footnote (46) on page 239, you use it to do a comparison withco-in...
<t>Hi Carol,I have your books. While the volume I is basics, the others are enormous.You did a tremendous work to achieve the published books. It is one of the most well written books I ever read (and studied).You said that you will have a forum area for the 4 volumes. When do you manage to do that?...
Hi,The best book in my point of view is by Helyette Geman "Commodities and commodities derivatives: Modeling and pricing for agriculturals, metals and energy"Farid.