Jay's Asset Allocation Blog

Blog about my off-hours work on the problem of Asset Allocation including but not limited to Portfolio Optimization algorithms, algorithms and approaches for improved estimation of Asset Allocation inputs and other potentially related items.

Saturday, January 15, 2011

Portfolio Optimization with Tracking Error Constraints

An article in May 2010 Financial Analysts Journal revisits Portfolio Optimization with Tracking Error Constraints. The author provides a good discussion of some geometric concepts for visualizing constant tracking error efficient frontiers and constant information ratio frontiers. New ideas for visualizing financial data are something I'm interested in right now, either in the charting or the mathematics.

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