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Journal of Banking & Finance Vol. 32 No. 2 2008

Relative deviation metrics and the problem of strategy replication

Stoyan V. Stoyanov1,2; Svetlozar T. Rachev3; Sergio Ortobelli; Frank J. Fabozzi4

1 Pranalytica (United States) · 2 Seattle University · 3 University of California, Santa Barbara · 4 Yale University

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.

DOI
10.1016/j.jbankfin.2007.02.011
Volume
32
Issue
2
Pages
199-206
Language
en
Sources
openalex crossref bibtex:phds-export.bib

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