Active portfolio management with benchmarking: adding a value-at-risk constraint (Q844612)
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scientific article; zbMATH DE number 5660225
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Active portfolio management with benchmarking: adding a value-at-risk constraint |
scientific article; zbMATH DE number 5660225 |
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Active portfolio management with benchmarking: adding a value-at-risk constraint (English)
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19 January 2010
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benchmarking
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VaR
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tracking error
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portfolio choice
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risk management
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0.7885120511054993
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0.7767214179039001
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0.7634074687957764
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0.7515566349029541
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