Optimizing Optimization: The Next Generation of Optimization Applications and Theory (Quantitative Finance)

0

0.01

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0 0.5 1

Tracking error

1.5 2 2.5

0.08

Portfolio alpha

Medium-term model optimization Short-term model optimization

Two model optimization

Figure 1.8 Tracking error measured using the SunGard APT medium-term model.

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0.01

0.02

0.03

0.04

0.05

0.06

0.07

0 0.5 1

Tracking error

1.5 2 2.5

0.08

Portfolio alpha

Medium-term model optimization Short-term model optimization

Two model optimization

Figure 1.9 Tracking error measured using the SunGard APT short-term model.