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Tracking error: a multistage portfolio model
16 references·1 citing·46 second hop
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References

  • 1998Numerical Methods in Economics2,587 cited
  • 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
  • 1991Scenarios and Policy Aggregation in Optimization Under Uncertainty1,341 cited
  • 1992A Mean/Variance Analysis of Tracking Error747 cited
  • 2000Optimal Control Theory : Applications to Management Science and Economics741 cited
  • 1999VaR without correlations for portfolios of derivative securities344 cited
  • 1978Safety-First, Stochastic Dominance, and Optimal Portfolio Choice277 cited
  • 1999A linear model for tracking error minimization199 cited
  • 1999Beating a moving target: Optimal portfolio strategies for outperforming a stochastic benchmark198 cited
  • 2004Optimal portfolio selection and dynamic benchmark tracking139 cited
  • 2003Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation134 cited
  • 1994Tracking Errors, Regret, and Tactical Asset Allocation128 cited
  • 1995Cash Management for Index Tracking105 cited
  • 1999The practice of portfolio replication. A practical overview of forward and inverse problems92 cited
  • 1994Integrated Simulation and Optimization Models for Tracking Indices of Fixed-Income Securities

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76 cited
  • 1998Empirical Insights on Indexing64 cited
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    • 2004Dynamic portfolio optimization: Time decomposition using the Maximum Principle with a scenario approach35 cited