Exact properties of measures of optimal investment for benchmarked portfolios

DOI10.1080/14697680903061412zbMATH Open1195.91145OpenAlexW2061210414MaRDI QIDQ3568907FDOQ3568907

Authors:

Publication date: 16 June 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903061412

Recommendations

• Monte Carlo computation of optimal portfolios in complete markets
• Portfolio optimization for an investor with a benchmark
• Optimal investment with minimum performance constraints
• PORTFOLIO MANAGEMENT WITH CONSTRAINTS
• Dynamic mean-variance optimal portfolio selection with benchmark processes

zbMATH Keywords

optimizationportfolio theoryportfolio analysisadvanced econometrics

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)

Cites Work

• Distributional properties of portfolio weights
• Estimation for Markowitz Efficient Portfolios

Cited In (6)

• Portfolio management with benchmark related incentives under mean reverting processes
• Monte Carlo computation of optimal portfolios in complete markets
• Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests
• Investment Performance Measurement Under Asymptotically Linear Local Risk Tolerance
• Diversification and generalized tracking errors for correlated non-normal returns
• ON THE UNBIASED ESTIMATOR OF THE EFFICIENT FRONTIER

This page was built for publication: Exact properties of measures of optimal investment for benchmarked portfolios

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3568907)