We consider tracking portfolio problems and present different tracking error definitions commonly used in static models. We focus on some problems which arise when we move from static to dynamic models. Moreover we address some topics on the scenario generation problem studying a multistage tracking error model in a stochastic programming framework with transaction costs and a liquidity component.
Tracking error in multistage portfolio models
BARRO, Diana;CANESTRELLI, Elio
2003-01-01
Abstract
We consider tracking portfolio problems and present different tracking error definitions commonly used in static models. We focus on some problems which arise when we move from static to dynamic models. Moreover we address some topics on the scenario generation problem studying a multistage tracking error model in a stochastic programming framework with transaction costs and a liquidity component.
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