Exact properties of measures of optimal investment for benchmarked portfolios

DOI10.1080/14697680903061412MaRDI QIDQ3568907zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

optimizationportfolio theoryportfolio analysisadvanced econometrics

Mathematics Subject Classification ID

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

Recommendations

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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
• ON THE UNBIASED ESTIMATOR OF THE EFFICIENT FRONTIER
• Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests
• Diversification and generalized tracking errors for correlated non-normal returns
• Investment Performance Measurement Under Asymptotically Linear Local Risk Tolerance

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