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Portfolio Optimization with Tracking-Error Constraints
8 references·16 citing·42 second hop
Portfolio Optimization with Tracking-Error Constraints (2003)Portfolio Optimization with Tracking-Erro…Active Portfolio Management (2017)Active Portfolio ManagementValue At Risk: The New Benchmark for Managing Financial Risk (2000)Value At Risk: The New Benchm…On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model (1999)On Portfolio Optimization: Fo…Does It All Add Up? Benchmarks and the Compensation of Active Portfolio Managers (1997)Does It All Add Up? Benchmark…Active Portfolio Management. (1996)Active Portfolio Management.A Mean/Variance Analysis of Tracking Error (1992)A Mean/Variance Analysis of T…The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal? (1989)The Markowitz Optimization En…An Analytic Derivation of the Efficient Portfolio Frontier (1972)An Analytic Derivation of the…When trackers are aware of ESG: Do ESG ratings matter to tracking error portfolio performance? (2023)When trackers are aware of ES…Asset Management Contracts and Equilibrium Prices (2022)Asset Management Contracts an…Portfolio Concentration and Mutual Fund Performance (2016)Portfolio Concentration and M…Dynamic Hedging in Incomplete Markets: A Simple Solution (2012)Dynamic Hedging in Incomplete…Diversifying the Diversifiers and Tracking the Tracking Error: Outperforming Cap-Weighted Indices with Limited Risk of Underperformance (2012)Diversifying the Diversifiers…Active portfolio management with benchmarking: A frontier based on alpha (2010)Active portfolio management w…Portfolio selection models: a review and new directions (2009)Portfolio selection models: a…Offsetting the implicit incentives: Benefits of benchmarking in money management (2008)Offsetting the implicit incen…Optimal delegated portfolio management with background risk (2007)Optimal delegated portfolio m…Mean-risk models using two risk measures: a multi-objective approach (2007)Mean-risk models using two ri…Financial Advice and Individual Investors' Portfolios (2007)Financial Advice and Individu…Active portfolio management with benchmarking: Adding a value-at-risk constraint (2007)Active portfolio management w…Risk Management with Benchmarking (2006)Risk Management with Benchmar…Portfolio selection with a drawdown constraint (2006)Portfolio selection with a dr…Optimal Decentralized Investment Management (2006)Optimal Decentralized Investm…Index Changes and Losses to Index Fund Investors (2006)Index Changes and Losses to I…PORTFOLIO SELECTION* (1952)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Financial Advice and Individual Investor Portfolio Performance (2012)Why are older investors less willing to take financial risks? (2018)Behavior biases and investment decision: theoretical and research framework (2019)The Theory of Syndicates (1968)The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models (1987)Optimal Contracts in a Continuous-Time Delegated Portfolio Management Problem (2003)Equilibrium prices in the presence of delegated portfolio management (2011)Portfolio Manager Compensation in the U.S. Mutual Fund Industry (2018)Portfolio Selection: Efficient Diversification of Investments (1959)A Note on Uncertainty and Indifference Curves (1969)An Intertemporal Capital Asset Pricing Model (1973)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Theory of Financial Decision Making. (1988)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)On estimating the expected return on the market (1980)The Cross-section of Managerial Ability, Incentives, and Risk Preferences (2011)The cross-section of stock returns in frontier emerging markets (2012)Decentralized Investment Management: Evidence from the Pension Fund Industry (2013)Portfolio Selection (1952)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Minimum-Variance Portfolios in the U.S. Equity Market (2006)Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns (2009)Particle Swarm Optimization (PSO) for the constrained portfolio optimization problem (2011)Backtesting Value-at-Risk: A Duration-Based Approach (2004)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Machine Learning in Banking Risk Management: A Literature Review (2019)An evolutionary heuristic for the index tracking problem (2003)The Gambler's and Hot-Hand Fallacies: Theory and Applications (2009)The Information Ratio (1998)DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION (2005)No-dynamic-arbitrage and market impact (2010)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)An Engine, Not a Camera (2006)Performance Evaluation with Stochastic Discount Factors (2002)Institutional Investors and Stock Market Volatility (2005)Robust portfolios: contributions from operations research and finance (2009)
this work references cited by second hop

References

  • 2000Value At Risk: The New Benchmark for Managing Financial Risk2,478 cited
  • 1989The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?1,333 cited
  • 1972An Analytic Derivation of the Efficient Portfolio Frontier1,039 cited
  • 1992A Mean/Variance Analysis of Tracking Error747 cited
  • 1999On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model569 cited
  • 2017Active Portfolio Management463 cited
  • 1997Does It All Add Up? Benchmarks and the Compensation of Active Portfolio Managers320 cited
  • 1996Active Portfolio Management.238 cited

Cited by

  • 2006Optimal Decentralized Investment Management166 cited
  • 2007Financial Advice and Individual Investors' Portfolios126 cited
  • 2007Mean-risk models using two risk measures: a multi-objective approach118 cited
  • 2006Risk Management with Benchmarking117 cited
  • 2006Index Changes and Losses to Index Fund Investors87 cited
  • 2007Active portfolio management with benchmarking: Adding a value-at-risk constraint81 cited
  • 2008Offsetting the implicit incentives: Benefits of benchmarking in money management72 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2022Asset Management Contracts and Equilibrium Prices69 cited
  • 2007Optimal delegated portfolio management with background risk67 cited
  • 2006Portfolio selection with a drawdown constraint65 cited
  • 2010Active portfolio management with benchmarking: A frontier based on alpha57 cited
  • 2016Portfolio Concentration and Mutual Fund Performance56 cited
  • 2009Portfolio selection models: a review and new directions51 cited
  • 2023When trackers are aware of ESG: Do ESG ratings matter to tracking error portfolio performance?47 cited
  • 2012Dynamic Hedging in Incomplete Markets: A Simple Solution47 cited
  • 2012Diversifying the Diversifiers and Tracking the Tracking Error: Outperforming Cap-Weighted Indices with Limited Risk of Underperformance45 cited