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Tracking error: a multistage portfolio model · Study

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ArticleTracking error: a multistage portfolio model

Diana Barro2008

Article2008

Tracking error: a multistage portfolio model

Diana Barro · Elio Canestrelli

41 citations·0/0 files stored·Annals of Operations Research

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1998Numerical Methods in Economics 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market 1991Scenarios and Policy Aggregation in Optimization Under Uncertainty 1992A Mean/Variance Analysis of Tracking Error 2000Optimal Control Theory : Applications to Management Science and Economics 1999VaR without correlations for portfolios of derivative securities 1978Safety-First, Stochastic Dominance, and Optimal Portfolio Choice 1999A linear model for tracking error minimization

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2004Dynamic portfolio optimization: Time decomposition using the Maximum Principle with a scenario approach

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Year2008

Typearticle

Published2008-01-04

VenueAnnals of Operations Research

ISSN-L0254-5330

Languageen

Citations41

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/s10479-007-0308-8

openalex_workW1552110055

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