Dynamic tracking error with shortfall control using stochastic programming

DOI10.1007/978-3-319-02499-8_4zbMATH Open1418.91449OpenAlexW1562047411MaRDI QIDQ4561899FDOQ4561899

Authors: Diana Barro, Elio Canestrelli 

Publication date: 13 December 2018

Published in: Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10278/37869

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zbMATH Keywords

portfolio selectionportfolio managementmean absolute deviationtracking errorrisky asset

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic programming (90C15)

Cites Work

• DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
• The Price of Robustness
• Optimal portfolio selection and dynamic benchmark tracking
• Robust optimization-methodology and applications
• Tracking error: a multistage portfolio model
• The practice of portfolio replication. A practical overview of forward and inverse problems
• Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
• Extending the MAD portfolio optimization model to incorporate downside risk aversion
• Designing minimum guaranteed return funds
• Optimal Dynamic Trading Strategies with Risk Limits
• Shortfall as a risk measure: properties, optimization and applications
• Technical Note—“Linear” Programming with Absolute-Value Functionals
• Asymmetric risk measures and tracking models for portfolio optimization under uncertainty

Cited In (5)

• Downside risk in multiperiod tracking error models
• Tracking a Financial Benchmark Using a Few Assets
• Tracking error: a multistage portfolio model
• Outperformance and tracking: dynamic asset allocation for active and passive portfolio management
• A discrete-time benchmark tracking problem in two markets subject to random environments

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