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Medium · portfolio_optimization · Quant Researcher interview question · portfolio-optimization, tracking-error, active-share, benchmark, numpy
Tracking error and active share are fundamental risk metrics in active portfolio management. Tracking error quantifies the volatility of a portfolio's excess returns relative to a benchmark, while active share measures the degree of portfolio differentiation from that benchmark. These metrics are essential for evaluating a manager's active strategy and risk-taking. Task Implement the function solution(port_weights: list, bench_weights: list, cov_matrix: list, periods_per_year: int) -> list to c