Tracking a Financial Benchmark Using a Few Assets
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Publication:3391973
DOI10.1287/OPRE.1050.0260zbMATH Open1167.91409OpenAlexW2164579754MaRDI QIDQ3391973FDOQ3391973
Authors:
Publication date: 13 August 2009
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/a38095f2250f4daa1400e895bc6e6716d1bfda93
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Cited In (17)
- Across-time risk-aware strategies for outperforming a benchmark
- On optimal control in the problem of long-run tracking the exponential Ornstein-Uhlenbeck process
- Portfolio selection from multiple benchmarks: a goal programming approach to an actual case
- Deep learning for enhanced index tracking
- Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment
- Constrained stochastic LQ control on infinite time horizon with regime switching
- Robust tracking error portfolio selection with worst-case downside risk measures
- Optimal tracking portfolio with a ratcheting capital benchmark
- Mixed-integer programming approaches for index tracking and enhanced indexation
- Index tracking model, downside risk and non-parametric kernel estimation
- Optimal active lifetime investment
- Dynamic index tracking and risk exposure control using derivatives
- Stochastic optimality in the portfolio tracking problem involving investor's temporal preferences
- The LMI approach for stabilizing of linear stochastic systems
- A discrete-time benchmark tracking problem in two markets subject to random environments
- Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach
- A stochastic receding horizon control approach to constrained index tracking
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