Tracking Error: Ex-Ante versus Ex-Post Measures
8 We cannot apply the same argument as in Theorem 1 to the relationship between ex-post and ex-ante TE MAD’s For the MAD case, we propose Theorem 2. Theorem 2 If w t that satisfies $e w t = 0 is stochastic, i.e., w t = µ w +? t, where v t ~ (0,O w), then ...