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Hi, David
I have question from Jorion's chapter questions.
It is number 65.2.
Which of the following is a true statement if we are benchmarking
fixed-income portfolio relative to a fixed-income index?
a) minimizing absolute VaR will also tend to minimize tracking error VaR
b) zero tracking error implies no underperformance vis-a-vis benchmark
c) duration mapping is insufficient to minimize tracking error
d) portfolios with same duration should have similar taking error VaRs.
I can understand why c is an answer and why b is not.
But have problem to understand why a and d are incorrect.
Help me please. Thank you
I have question from Jorion's chapter questions.
It is number 65.2.
Which of the following is a true statement if we are benchmarking
fixed-income portfolio relative to a fixed-income index?
a) minimizing absolute VaR will also tend to minimize tracking error VaR
b) zero tracking error implies no underperformance vis-a-vis benchmark
c) duration mapping is insufficient to minimize tracking error
d) portfolios with same duration should have similar taking error VaRs.
I can understand why c is an answer and why b is not.
But have problem to understand why a and d are incorrect.
Help me please. Thank you
