Stochastic portfolio theory optimization and the origin of rule-based investing
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Publication:4619494
DOI10.1080/14697688.2015.1012840zbMath1406.91397OpenAlexW1856367773MaRDI QIDQ4619494
Publication date: 6 February 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2015.1012840
Related Items (4)
Optimal asset allocation for outperforming a stochastic benchmark target ⋮ Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management ⋮ BEATING A CONSTANT WEIGHT BENCHMARK: EASIER DONE THAN SAID ⋮ Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach
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