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Unformatted text preview: k th factor k w-w b k ≤ M , Benchmark Constraints ( w-w b ) Ω( w-w b ) ≤ σ 2 TE I Tracking is mimicking a market index, with a smaller number of stocks. I Solve min w ( w-w b ) Ω( w-w b ), w 1 = 1....
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This note was uploaded on 10/16/2010 for the course STAT 244 taught by Professor Dr.velu during the Summer '10 term at Stanford.
- Summer '10