A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1

Gopal K. Basak, Ravi Jagannathan, Tongshu Ma

NBER Working Paper No. 10447
Issued in April 2004

---- Acknowledgements -----

We thank Torben Andersen, Wayne Ferson, J. K. Ghosh, Eric Jaquier, Mark Kamstra, Raymond Kan, Nour Meddahi, Richard Roll, Pedro Santa-Clara, Rossen Valcanov, and seminar participants at CIRANO, Harvard Business School, Norwegian School of Management BI, NHH: Norwegian School of Economics and Business Administration, Northwestern University, University of California at Los Angeles, and the University of North Carolina for helpful comments and suggestions. We alone are responsible for any errors and omissions.

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