info:eu-repo/semantics/article
A note on the estimation of minimum tracking error portfolios
Autor
Naibert, Paulo Ferreira
Caldeira, João F.
Santos, André A. P.
Institución
Resumen
Minimum tracking error portfolios are often implemented by portfolio managers in order totrack the performance of a benchmark asset in terms of risk and return. This note providesan analytical derivation of the minimum tracking error portfolios of excess returns on abenchmark by relying on the regression-based approach to portfolio weights proposed inKempf and Memmel (2006). This approach allows estimating the weights of the minimumtracking error portfolios by means of a simple OLS regression.