On portfolio choice by maximizing the outperformance probability

DOI10.1111/J.1467-9965.2010.00420.XMaRDI QIDQ3069961zbMATH OpenOpenAlexFDO

Authors A. A. Puhalskii

Publication date 2 February 2011

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.2010.00420.x

zbMATH Keywords

benchmark outperformancegeometric Brownian motionlarge deviationsoptimal controlportfolio selection

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• A risk-sensitive control dual approach to a large deviations control problem
• A risk-sensitive stochastic control approach to an optimal investment problem with partial information
• Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
• scientific article; zbMATH DE number 1239549 (Why is no real title available?)
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Portfolio choice with endogenous utility: a large deviations approach.
• The return on investment from proportional portfolio strategies

Cited in

(10)

• K-fold cross validation performance comparisons of six naive portfolio selection rules: how naive can you be and still have successful out-of-sample portfolio performance?
• Portfolio management in the binomial model: conditions for outperforming benchmarks
• Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
• On long term investment optimality
• Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing
• Portfolio optimization with performance ratios
• PORTFOLIO MANAGEMENT WITH CONSTRAINTS
• Duality between large deviation control and risk-sensitive control for Markov decision processes
• On maximizing probabilities for over-performing a target for Markov decision processes
• Large deviations and optimal control for Markov decision processes

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