Relative deviation metrics and the problem of strategy replication

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

doi:10.1016/j.jbankfin.2007.02.011

Relative deviation metrics and the problem of strategy replication

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

Mathematics and Statistics

Research output: Contribution to journal › Article › peer-review

9 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 language	English
Pages (from-to)	199-206
Number of pages	8
Journal	Journal of Banking and Finance
Volume	32
Issue number	2
DOIs	https://doi.org/10.1016/j.jbankfin.2007.02.011
State	Published - Feb 2008

Keywords

Benchmark tracking
Probability metric
Tracking error

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10.1016/j.jbankfin.2007.02.011

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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.",

keywords = "Benchmark tracking, Probability metric, Tracking error",

author = "Stoyanov, {Stoyan V.} and Rachev, {Svetlozar T.} and Sergio Ortobelli and Fabozzi, {Frank J.}",

note = "Funding Information: Prof. Rachev gratefully acknowledges research support by grants from Division of Mathematical, Life and Physical Sciences, College of Letters and Science, University of California, Santa Barbara, the Deutsche Forschungsgemeinschaft and the Deutscher Akademischer Austausch Dienst. ",

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AU - Rachev, Svetlozar T.

AU - Ortobelli, Sergio

AU - Fabozzi, Frank J.

N1 - Funding Information: Prof. Rachev gratefully acknowledges research support by grants from Division of Mathematical, Life and Physical Sciences, College of Letters and Science, University of California, Santa Barbara, the Deutsche Forschungsgemeinschaft and the Deutscher Akademischer Austausch Dienst.

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N2 - 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.

AB - 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.

KW - Benchmark tracking

KW - Probability metric

KW - Tracking error

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U2 - 10.1016/j.jbankfin.2007.02.011

DO - 10.1016/j.jbankfin.2007.02.011

M3 - Article

AN - SCOPUS:38749132564

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EP - 206

JO - Journal of Banking and Finance

JF - Journal of Banking and Finance

IS - 2

ER -

Relative deviation metrics and the problem of strategy replication

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Keywords

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