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Tracking a Financial Benchmark Using a Few Assets
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Tracking a Financial Benchmark Using a Few Assets (2006)Tracking a Financial Benchmark Using a Fe…A Guided Tour through Quadratic Hedging Approaches (2010)A Guided Tour through Quadrat…Mean-Variance Portfolio Selection with Random Parameters in a Complete Market (2002)Mean-Variance Portfolio Selec…Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Markowitz Revisited: Mean-Var…Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II (2000)Stochastic Linear Quadratic R…Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Continuous-Time Mean-Variance…Stochastic Controls (1999)Stochastic ControlsStochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic controls : Hamilto…Beating a moving target: Optimal portfolio strategies for outperforming a stochastic benchmark (1999)Beating a moving target: Opti…A Brief History of Downside Risk Measures (1999)A Brief History of Downside R…Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs (1998)Stochastic Linear Quadratic R…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Optimal Portfolios (1997)Optimal PortfoliosMean-Variance Hedging in Continuous Time (1991)Mean-Variance Hedging in Cont…Downside risk (1991)Downside riskMean-Risk Analysis with Risk Associated with Below-Target Returns (1975)Mean-Risk Analysis with Risk …Optimal Tracking Portfolio with a Ratcheting Capital Benchmark (2021)Optimal Tracking Portfolio wi…Enhanced index tracking optimal portfolio selection (2015)Enhanced index tracking optim…Robust tracking error portfolio selection with worst-case downside risk measures (2013)Robust tracking error portfol…A Stochastic Receding Horizon Control Approach to Constrained Index Tracking (2008)A Stochastic Receding Horizon…Impulsive Control of Portfolios (2007)Impulsive Control of Portfoli…Hierarchical Portfolio Management: Theory and Applications (2003)Hierarchical Portfolio Manage…The Pricing of Options and Corporate Liabilities (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Portfolio Selection: Efficient Diversification of Investments (1959)Adapted solution of a backward stochastic differential equation (1990)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Controlled Markov Processes and Viscosity Solutions (2005)Dynamic Mean-Variance Asset Allocation (2010)MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Optimization Methods in Finance (2006)Particle Swarm Optimization (PSO) for the constrained portfolio optimization problem (2011)60 Years of portfolio optimization: Practical challenges and current trends (2013)The financial analysts journal (1960)The journal of financial economics (1993)Learning to trade via direct reinforcement (2001)Does the choice of performance measure influence the evaluation of hedge funds? (2007)Portfolio Performance Manipulation and Manipulation-proof Performance Measures (2007)Aspects of the Theory of Risk-Bearing. (1966)Risk Aversion in the Small and in the Large (1976)Consumer perceived risk: conceptualisations and models (1999)A Cross-Cultural Study on Escalation of Commitment Behavior in Software Projects1 (2000)The Expected Utility Model: Its Variants, Purposes, Evidence and Limitations (2007)Theory of games and economic behavior (2019)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)A Jump-Diffusion Model for Option Pricing (2002)Intermediary Asset Pricing (2013)072103 (E50, M20) Option pricing by Esscher transforms (1995)Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Pricing American Options: A Duality Approach (2004)Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006)
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  • 1998Methods of Mathematical Finance2,335 cited
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  • 1975Mean-Risk Analysis with Risk Associated with Below-Target Returns1,215 cited
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 1998Methods of Mathematical Finance888 cited
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  • 2001Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis384 cited
  • 1991Mean-Variance Hedging in Continuous Time383 cited
  • 1998Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs382 cited
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  • 1997

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Optimal Portfolios
162 cited

Cited by

  • 2008A Stochastic Receding Horizon Control Approach to Constrained Index Tracking42 cited
  • 2003Hierarchical Portfolio Management: Theory and Applications34 cited
  • 2013Robust tracking error portfolio selection with worst-case downside risk measures32 cited
  • 2015Enhanced index tracking optimal portfolio selection25 cited
  • 2007Impulsive Control of Portfolios18 cited
  • 2021Optimal Tracking Portfolio with a Ratcheting Capital Benchmark17 cited