Dynamic tracking error with shortfall control using stochastic programming

DOI10.1007/978-3-319-02499-8_4MaRDI QIDQ4561899zbMATH OpenOpenAlexFDO

Authors Diana Barro, Elio Canestrelli

Publication date 13 December 2018

Published in Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10278/37869

zbMATH Keywords

mean absolute deviationportfolio managementportfolio selectionrisky assettracking error

Mathematics Subject Classification ID

Stochastic programming (90C15) Portfolio theory (91G10)

Recommendations

• Tracking error: a multistage portfolio model
• Downside risk in multiperiod tracking error models
• Robust tracking error portfolio selection with worst-case downside risk measures
• Dynamic mean-variance portfolio selection based on a stochastic benchmark
• Optimal portfolio allocations with tracking error volatility and stochastic hedging constraints

Cites work

• Asymmetric risk measures and tracking models for portfolio optimization under uncertainty
• Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
• Designing minimum guaranteed return funds
• DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
• Extending the MAD portfolio optimization model to incorporate downside risk aversion
• Optimal Dynamic Trading Strategies with Risk Limits
• Optimal portfolio selection and dynamic benchmark tracking
• Robust optimization-methodology and applications
• Shortfall as a risk measure: properties, optimization and applications
• Technical Note—“Linear” Programming with Absolute-Value Functionals
• The practice of portfolio replication. A practical overview of forward and inverse problems
• The Price of Robustness
• Tracking error: a multistage portfolio model

Cited in

(5)

• Tracking error: a multistage portfolio model
• Downside risk in multiperiod tracking error models
• Tracking a Financial Benchmark Using a Few Assets
• Outperformance and tracking: dynamic asset allocation for active and passive portfolio management
• A discrete-time benchmark tracking problem in two markets subject to random environments

This page was built for publication: Dynamic tracking error with shortfall control using stochastic programming

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4561899)