Benchmark-based evaluation of portfolio performance: a characterization
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Publication:2397788
DOI10.1007/s10436-016-0286-4zbMath1398.91497OpenAlexW2553738733MaRDI QIDQ2397788
Mikhail V. Sokolov, Alexander G. Alexeev
Publication date: 23 May 2017
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-016-0286-4
benchmarkingindex number theoryportfolio performancecompound annual growth rateportfolio choice under uncertainty
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Portfolio performance under benchmarking relative loss and portfolio insurance: From omega ratio to loss aversion ⋮ Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach
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