Optimal Tracking Portfolio with a Ratcheting Capital Benchmark (Q5000625)
From MaRDI portal
scientific article; zbMATH DE number 7371724
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Tracking Portfolio with a Ratcheting Capital Benchmark |
scientific article; zbMATH DE number 7371724 |
Statements
Optimal Tracking Portfolio with a Ratcheting Capital Benchmark (English)
0 references
15 July 2021
0 references
nondecreasing capital benchmark
0 references
optimal tracking
0 references
running maximum cost
0 references
probabilistic representation
0 references
stochastic flow analysis
0 references
0 references
0 references
0 references
0 references
