TY  - JOUR
AU  - Basak,Gopal K.
AU  - Jagannathan,Ravi
AU  - Ma,Tongshu
TI  - A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 10447
PY  - 2004
Y2  - April 2004
UR  - http://www.nber.org/papers/w10447
L1  - http://www.nber.org/papers/w10447.pdf
N1  - Author contact info:
Gopal K. Basak
Indian Statistical Institute
Kolkata 700108
India
E-Mail: gkb@isical.ac.in

Ravi Jagannathan
Kellogg Graduate School of Management
Northwestern University
2001 Sheridan Road
Leverone/Anderson Complex
Evanston, IL 60208-2001
Tel: 847/491-8338
Fax: 847/491-5719
E-Mail: rjaganna@northwestern.edu

Tongshu Ma
SUNY-Binghamton
E-Mail: tma@binghamton.edu
AB  - We develop a jackknife estimator for the conditional variance of a minimum-tracking- error-variance portfolio constructed using estimated covariances. We empirically evaluate the performance of our estimator using an optimal portfolio of 200 stocks that has the lowest tracking error with respect to the S&P500 benchmark when three years of daily return data are used for estimating covariances. We find that our jackknife estimator provides more precise estimates and suffers less from in-sample optimism when compared to conventional estimators.
ER  -