6Ammann and Tobler.Measurement and Decomposition of Tracking Error Variance[J/OL].Discussion paper.2000 (11):1-57.
7Bachelier.The Random Character of Stock Market Prices[M].Cambridge:Massachusetts Institute of Technology Press,1964.21-35.
8Daniel,Gfinblatt,Titman,Wermers.Measuring Mutual Fund Performance with Characteristic-Based Benchmarks[J].Journal of Finance,1997 (3):1035-1058.
9Fama.Efficient Capital Market[J].Journal of Finance,1991 (46):1575-1617.
10Henriksson,Merton.On Market Tuning and Investment Perfonnance.Ⅱ.Statistical Procedures for Evaluating Forecasting Skills[J].Journal of Business,1981 (4):513-533.
4[1]Bogle John C. Common sense on mutual funds [M]. Published by John Wiley & Sons Inc, 1999.
5[2]Louis K C Chan, Jason Karceski, Josef Lakonishok. On portfolio optimization: Forecasting covariances and choosing the risk model [EB/OL]. The NBER working paper. Mar 1999, www.nber.org/papers/w7039.
6[3]Roll R. A mean/variance analysis of tracking error [J]. Journal of Portfolio Management, 1992, 18:13～22.
7[4]Konno H, Yamazaki H. Mean absolute deviation portfolio optimization model and its application to Tokyo stock market [J]. Management Science, 1991,37(5):519～531.
8[5]Clarke R C, Krase S, Statman M. Tracking errors, regrect, and tactical asset allocation [J]. The Journal of Portfolio Management, 1994,20:16～24.
9[6]Herold C Rohweder. Implementing stock selection ideas: Does tracking error optimization do any good? [J]. Journal of Portfolio Management, 1998, 24:49～59.
10[7]Judith Chevalier, Glen Ellison. Career concerns of mutual fund managers [EB/OL]. NBER working paper, 1998. www.nber.org/papers/w6394.
