4. Tracking error problem Suppose {rk = = Rd : k 1,..., N} denote N IID samples of the quarterly rate of return each of the d assets, and let {bk : k 1,..., N} denote IID samples of the quarterly rate of return on a benchmark. The price per share of the assets is given by p = [P1_P2 T Pn] > 0. Suppose we are interested in choosing the minimum cost portfolio of the d assets such that P(x-b>v) 1 a, i.e. solve the optimization problem - min px s.t. P(|x |> v) 1 a where P denotes the empirical distribution induced by the data. 2