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Lucie Tepla
Senior Affiliate Professor of Finance
Keywords
benchmarking ; investments ; shortfall risk ; tracking error ; value-at-risk;
Journal Article
Tepla L., Basak S., Shapiro A. (2006). Risk Management with Benchmarking Management Science, 52(4), (pp542-557).
Portfolio theory must address the fact that in reality, portfolio managers are evaluated relative to a benchmark, and therefore adopt risk management practices to account for the benchmark performance.