Tracking a Financial Benchmark Using a Few Assets
From MaRDI portal
Publication:3391973
Recommendations
- Optimal tracking portfolio with a ratcheting capital benchmark
- A stochastic receding horizon control approach to constrained index tracking
- Dynamic tracking error with shortfall control using stochastic programming
- scientific article; zbMATH DE number 165316
- Tracking error: a multistage portfolio model
Cited in
(17)- Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment
- Index tracking model, downside risk and non-parametric kernel estimation
- Constrained stochastic LQ control on infinite time horizon with regime switching
- Across-time risk-aware strategies for outperforming a benchmark
- Robust tracking error portfolio selection with worst-case downside risk measures
- Optimal active lifetime investment
- On optimal control in the problem of long-run tracking the exponential Ornstein-Uhlenbeck process
- Optimal tracking portfolio with a ratcheting capital benchmark
- A stochastic receding horizon control approach to constrained index tracking
- Stochastic optimality in the portfolio tracking problem involving investor's temporal preferences
- Dynamic index tracking and risk exposure control using derivatives
- The LMI approach for stabilizing of linear stochastic systems
- Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach
- Mixed-integer programming approaches for index tracking and enhanced indexation
- Portfolio selection from multiple benchmarks: a goal programming approach to an actual case
- A discrete-time benchmark tracking problem in two markets subject to random environments
- Deep learning for enhanced index tracking
This page was built for publication: Tracking a Financial Benchmark Using a Few Assets
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3391973)
