Downside risk in multiperiod tracking error models

DOI10.1007/S10100-013-0290-YMaRDI QIDQ301206zbMATH OpenOpenAlexFDO

Authors Diana Barro, Elio Canestrelli

Publication date 30 June 2016

Published in CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

Full work available at URL http://www.unive.it/pag/fileadmin/user_upload/dipartimenti/economia/doc/Pubblicazioni_scientifiche/working_papers/2012/WP_DSE_barro_canestrelli_17_12.pdf

zbMATH Keywords

downside riskdynamic portfolioprogrammingstochastictracking error

Mathematics Subject Classification ID

Integer programming (90C10) Stochastic programming (90C15) Portfolio theory (91G10)

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Cites work

• Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
• Designing minimum guaranteed return funds
• DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
• Extending the MAD portfolio optimization model to incorporate downside risk aversion
• Integrated Simulation and Optimization Models for Tracking Indices of Fixed-Income Securities
• Optimal design of the guarantee for defined contribution funds
• Optimal investment strategies in the presence of a minimum guarantee.
• Optimal portfolio management with American capital guarantee
• Optimal portfolio selection and dynamic benchmark tracking
• PORTFOLIO MANAGEMENT WITH CONSTRAINTS
• Practical financial optimization. Decision making for financial engineers. Foreword by Harry M. Markowitz
• Risk Management with Benchmarking
• Scenarios for multistage stochastic programs
• The practice of portfolio replication. A practical overview of forward and inverse problems
• Theory of constant proportion portfolio insurance
• Tracking error: a multistage portfolio model

Cited in

(7)

• Should business rely on business cycle forecasting?
• Volatility versus downside risk: performance protection in dynamic portfolio strategies
• Stock portfolio selection under unstable uncertainty via fuzzy mean-semivariance model
• The state of financial modelling in 2012, as shaped by the GFC
• A downside risk analysis based on financial index tracking models
• Dynamic tracking error with shortfall control using stochastic programming
• Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis

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