Relative deviation metrics and the problem of strategy replication

Stoyan V. Stoyanov, Svetlozar T. Rachev, Sergio Ortobelli, Frank J. Fabozzi

Research output: Contribution to journalArticle

8 Scopus citations

Abstract

In the paper, we generalize the classical benchmark tracking problem by introducing the class of relative deviation metrics. We introduce an axiomatic description of the benchmark tracking problem and a classification inspired by the theory of probability metrics. Two examples of such metrics are provided and their in-sample behaviour is compared to the classical tracking error in a numerical example.

Original languageEnglish
Pages (from-to)199-206
Number of pages8
JournalJournal of Banking and Finance
Volume32
Issue number2
DOIs
StatePublished - Feb 2008

Keywords

  • Benchmark tracking
  • Probability metric
  • Tracking error

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