BEATING A CONSTANT WEIGHT BENCHMARK: EASIER DONE THAN SAID

DOI10.1142/S0219024923500115MaRDI QIDQ6141906zbMATH OpenOpenAlexFDO

Authors P. A. Forsyth, Pieter M. Van Staden, Yuying Li

Publication date 23 January 2024

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024923500115

zbMATH Keywords

asset allocationbenchmark outperformanceoptimal control

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cites work

• A jump-diffusion model for option pricing
• A stochastic control approach to defined contribution plan decumulation: \textit{``The nastiest, hardest problem in finance}
• An unconditionally monotone numerical scheme for the two-factor uncertain volatility model
• Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach
• Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• De-risking defined benefit plans
• Financial Modelling with Jump Processes
• Nonparametric tests for pathwise properties of semimartingales
• Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation
• On efficiency of mean-variance based portfolio selection in defined contribution pension schemes
• Optimal asset allocation for outperforming a stochastic benchmark target
• Outperformance and tracking: dynamic asset allocation for active and passive portfolio management
• Risk-constrained dynamic active portfolio management
• Stochastic portfolio theory optimization and the origin of rule-based investing
• The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors

Cited in

(1)

• A Global-in-Time Neural Network Approach to Dynamic Portfolio Optimization

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