Benchmark-based evaluation of portfolio performance: a characterization

DOI10.1007/s10436-016-0286-4zbMath1398.91497OpenAlexW2553738733MaRDI QIDQ2397788

Mikhail V. Sokolov, Alexander G. Alexeev

Publication date: 23 May 2017

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-016-0286-4

zbMATH Keywords

benchmarkingindex number theoryportfolio performancecompound annual growth rateportfolio choice under uncertainty

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Portfolio theory (91G10)

Related Items (2)

Portfolio performance under benchmarking relative loss and portfolio insurance: From omega ratio to loss aversion ⋮ Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A theory of average growth rate indices
• An implicit function theorem: Comment
• On general minimax theorems
• Determining merged relative scores
• On concavity and supermodularity
• Tracking error: a multistage portfolio model
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Increasing quasiconcave co-radiant functions with applications in mathematical economics
• An evolutionary heuristic for the index tracking problem.
• Postulates for the internal rate of return of an investment project
• Ambiguity in asset pricing and portfolio choice: a review of the literature
• Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
• A benchmark approach to quantitative finance
• Risk Management with Benchmarking
• Exact welfare measures and economic index numbers
• Risk-sensitive benchmarked asset management
• Price and Quantity Index Numbers
• Axiomatic Characterization of the Time-Weighted Rate of Return
• Arbitrage Theory in Continuous Time
• Convex functions and their applications. A contemporary approach
• Abstract convexity and global optimization
• Optimal investment with minimum performance constraints

This page was built for publication: Benchmark-based evaluation of portfolio performance: a characterization