The Mathematics of Financial Modelingand Investment Management

19-EquityPort Page 557 Friday, March 12, 2004 12:40 PM

Equity Portfolio Management 557

EXHIBIT 19.2 Tracking Error versus the Number of Benchmark Stocks in the

Portfolio

Source: Exhibit 7.2 in Raman Vardharaj, Frank J. Jones, and Frank J. Fabozzi,

“Tracking Error and Common Stock Portfolio Management,” Chapter 7 in Frank

J. Fabozzi and Harry M. Markowitz (eds.), The Theory and Practice of Invest-

ment Management (New York: John Wiley & Sons, Inc., 2002), p. 171.