Tracking error: a multistage portfolio model
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Cites work
- scientific article; zbMATH DE number 1241609 (Why is no real title available?)
- scientific article; zbMATH DE number 1734433 (Why is no real title available?)
- Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
- Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation
- Discrete Maximum Principle with State Constrained Control
- Dynamic portfolio optimization: time decomposition using the maximum principle with a scenario approach
- 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
- Mean Value Methods in Iteration
- Optimal portfolio selection and dynamic benchmark tracking
- Scenarios and Policy Aggregation in Optimization Under Uncertainty
- The practice of portfolio replication. A practical overview of forward and inverse problems
Cited in
(15)- Volatility versus downside risk: performance protection in dynamic portfolio strategies
- The sampling errors in estimating the tracking error frontier
- Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming
- Liquidity-constrained index tracking optimization models
- Combining stochastic programming and optimal control to decompose multistage stochastic optimization problems
- Dynamic tracking error with shortfall control using stochastic programming
- Benchmark-based evaluation of portfolio performance: a characterization
- Applying time series decomposition to construct index-tracking portfolio
- Downside risk in multiperiod tracking error models
- Tracking a Financial Benchmark Using a Few Assets
- Jackknife Estimator for Tracking Error Variance of Optimal Portfolios
- Exact and heuristic approaches for the index tracking problem with UCITS constraints
- Options strategies for international portfolios with overall risk management via multi-stage stochastic programming
- Diversification and generalized tracking errors for correlated non-normal returns
- A multistage stochastic programming framework for cardinality constrained portfolio optimization
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