Optimal portfolio allocations with tracking error volatility and stochastic hedging constraints
From MaRDI portal
Publication:2871414
DOI10.1080/14697688.2011.589401zbMath1284.91510MaRDI QIDQ2871414
R. Portait, Guillaume Tergny, Isabelle Bajeux-Besnainou
Publication date: 23 January 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2011.589401
portfolio optimization; tracking error; asset allocation; asset management; continuous time finance; stochastic hedging constraints
91G20: Derivative securities (option pricing, hedging, etc.)
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
91G10: Portfolio theory
Related Items
Optimal asset allocation for outperforming a stochastic benchmark target, Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Optimal portfolio management with American capital guarantee
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- The first-order approach to the continuous-time principal-agent problem with exponential utility
- Optimal benchmarking for active portfolio managers
- Optimal risk-sharing with effort and project choice
- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- Optimal investment strategies in a CIR framework
- Dynamic Asset Allocation in a Mean-Variance Framework
- Aggregation and Linearity in the Provision of Intertemporal Incentives
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- An Intertemporal Capital Asset Pricing Model
- Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
- Optimal investment with minimum performance constraints
- Dynamic asset allocation with mean variance preferences and a solvency constraint
