Optimal portfolio selection and dynamic benchmark tracking
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Cites work
- scientific article; zbMATH DE number 193918 (Why is no real title available?)
- scientific article; zbMATH DE number 1233792 (Why is no real title available?)
- scientific article; zbMATH DE number 1304950 (Why is no real title available?)
- An asset liability management model for casualty insurers: Complexity reduction vs. parameterized decision rules
- Bicriteria Optimization Problem of Designing an Index Fund
- Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints
- Conditional value-at-risk: optimization approach
- Dynamic stochastic programming for asset-liability management
- Integrated Simulation and Optimization Models for Tracking Indices of Fixed-Income Securities
- Integrated simulation and optimization models for tracking international fixed income indices
- Introduction to Stochastic Programming
- On-line portfolio selection using stochastic programming
- Stochastic nonstationary optimization for finding universal portfolios
Cited in
(47)- A two-stage approach to the UCITS-constrained index-tracking problem
- Risk-allocation-based index tracking
- Liquidity-constrained index tracking optimization models
- Income drawdown option with minimum guarantee
- Game Theoretical Approach for Reliable Enhanced Indexation
- A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
- Optimal construction and rebalancing of index-tracking portfolios
- Myopic robust index tracking with Bregman divergence
- Across-time risk-aware strategies for outperforming a benchmark
- Portfolio selection based on a benchmark process with dynamic value-at-risk constraints
- Dynamic CVaR portfolio construction with attention-powered generative factor learning
- Optimal active lifetime investment
- Behavioral stock portfolio optimization considering holding periods of B-stocks with short-selling
- Portfolio selection: a target-distribution approach
- Portfolio management in the binomial model: conditions for outperforming benchmarks
- A two-stage stochastic mixed-integer programming approach to the index tracking problem
- Robust portfolio selection for index tracking
- Optimal tracking portfolio with a ratcheting capital benchmark
- Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework
- A stochastic receding horizon control approach to constrained index tracking
- Volatility versus downside risk: performance protection in dynamic portfolio strategies
- Optimal portfolio choice and consistent performance
- Enhanced index tracking with CVaR-based ratio measures
- Dynamic portfolio selection with market impact costs
- Explicit investment setting in a Kaldor macroeconomic model with macro shock
- Stochastic optimization for real time service capacity allocation under random service demand
- Options strategies for international portfolios with overall risk management via multi-stage stochastic programming
- Large deviations theorems for optimal investment problems with large portfolios
- A sparse enhanced indexation model with chance and cardinality constraints
- Tracking error: a multistage portfolio model
- Selection of balanced portfolios to track the main properties of a large market
- Investment portfolio tracking using model predictive control
- Downside risk in multiperiod tracking error models
- Risk management for international portfolios with basket options: A multi-stage stochastic programming approach
- Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation
- Mixed-integer programming approaches for index tracking and enhanced indexation
- Nonasymptotic estimates for stochastic gradient Langevin dynamics under local conditions in nonconvex optimization
- Sequential monitoring of portfolio betas
- Sparse and robust normal and \(t\)-portfolios by penalized \(L_q\)-likelihood minimization
- Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming
- Good deals and benchmarks in robust portfolio selection
- Portfolio selection from multiple benchmarks: a goal programming approach to an actual case
- scientific article; zbMATH DE number 7267272 (Why is no real title available?)
- Index tracking through deep latent representation learning
- Dynamic tracking error with shortfall control using stochastic programming
- A discrete-time benchmark tracking problem in two markets subject to random environments
- Objective comparisons of the optimal portfolios corresponding to different utility functions
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