Optimal tracking portfolio with a ratcheting capital benchmark (Q5000625)
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scientific article; zbMATH DE number 7371724
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| English | Optimal tracking portfolio with a ratcheting capital benchmark |
scientific article; zbMATH DE number 7371724 |
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Optimal Tracking Portfolio with a Ratcheting Capital Benchmark (English)
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15 July 2021
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nondecreasing capital benchmark
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optimal tracking
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running maximum cost
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probabilistic representation
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stochastic flow analysis
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0.7880942225456238
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0.7802197933197021
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0.778935968875885
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0.7771341800689697
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0.7714244723320007
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