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
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