April 13th, 2010, 7:31 am
QuoteOriginally posted by: playerthe point is that on average some of the futures can trade with 50 bps point spread. some of the others futures trade with say 10 bps spread. but the 50 points spread ahs lower tracking erro than the 10 bps spread. How can i capture this trade off when doing the regression??have you tried optimisation with a constraint ?
knowledge comes, wisdom lingers