Portfolio Optimization with Tracking-Error Constraints

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Mean-risk models using two risk measures: a multi-objective approach (2007, background): “Jorion ( 2003 ) proposed that a portfolio return distribution should have constraints on both variance and ‘tracking error volatility’, which is ‘the volatility of the deviation of the active portfolio from the benchmark’, with a maximum expected return under these conditions.”
How Active is Your Fund Manager? A New Measure That Predicts Performance (2009, unknown): “Mean-variance analysis in this excess-return framework is a standard tool of active managers (e.g. Roll (1992) or Jorion (2003)).”
Optimal Decentralized Investment Management (2008, unknown): “When designing (3)See, for instance, Kim and Omberg (1996), Brennan, Schwartz, Lagnado (1997), Campbell and Viceira (1999), Brandt (1999,2005), Aı̈t-Sahalia and Brandt (2001), Campbell, Chan, and Viceira (2003), and Jurek and Viceira (2005), and Sangvinatsos and Wachter (2005).”
Portfolio selection models: a review and new directions (2009, background): “Since it has been often argued that describing a distribution by just two parameters involves great loss of information, there have been attempts to improve on classical mean-risk models by using three parameters (instead of two) in order to characterise distributions ([17], [14], [15], [43]).”