Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 29, 2013 erstellt
Description:
It is well known that investors usually assign part of their funds to asset managers who are given the task of beating a benchmark portfolio. On the other hand, the risk management off ice could impose some restrictions to the asset managers' activity in order to maintain the overall portfolio risk under control. This situation could lead managers to select non efficient portfolios in the total return and absolute risk perspective.In this paper we focus on portfolio efficiency when a tracking error volatility (TEV) constraint holds. First, we define the TEV Constrained-Efficient Frontier (ECTF), a set of TEV constrained portfolios that are mean-variance efficient. Second, we discuss the effects on such boundary when a VaR and/or a variance restriction is also added