Tracking error: a multistage portfolio model
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Publication:1026537
DOI10.1007/S10479-007-0308-8zbMATH Open1163.91378OpenAlexW2035281078MaRDI QIDQ1026537FDOQ1026537
Publication date: 25 June 2009
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-007-0308-8
Cites Work
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- Optimal portfolio selection and dynamic benchmark tracking
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- Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
- Integrated Simulation and Optimization Models for Tracking Indices of Fixed-Income Securities
- Integrated simulation and optimization models for tracking international fixed income indices
- Discrete Maximum Principle with State Constrained Control
Cited In (12)
- Volatility versus downside risk: performance protection in dynamic portfolio strategies
- Liquidity-constrained index tracking optimization models
- Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming
- Combining stochastic programming and optimal control to decompose multistage stochastic optimization problems
- Benchmark-based evaluation of portfolio performance: a characterization
- Applying time series decomposition to construct index-tracking portfolio
- Downside risk in multiperiod tracking error models
- Jackknife Estimator for Tracking Error Variance of Optimal Portfolios
- Exact and heuristic approaches for the index tracking problem with UCITS constraints
- Dynamic Tracking Error with Shortfall Control Using Stochastic Programming
- Options strategies for international portfolios with overall risk management via multi-stage stochastic programming
- A multistage stochastic programming framework for cardinality constrained portfolio optimization
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