Relative deviation metrics and the problem of strategy replication

B-Tier
Journal: Journal of Banking & Finance
Year: 2008
Volume: 32
Issue: 2
Pages: 199-206

Authors (4)

Stoyanov, Stoyan V. (not in RePEc) Rachev, Svetlozar T. (not in RePEc) Ortobelli, Sergio (not in RePEc) Fabozzi, Frank J. (Groupe EDHEC (École de Hautes ...)

Score contribution per author:

0.503 = (α=2.01 / 4 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:jbfina:v:32:y:2008:i:2:p:199-206
Journal Field
Finance
Author Count
4
Added to Database
2026-01-25