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Optimal Tracking Portfolio with a Ratcheting Capital Benchmark - MaRDI portal

Optimal Tracking Portfolio with a Ratcheting Capital Benchmark (Q5000625)

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scientific article; zbMATH DE number 7371724
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English
Optimal Tracking Portfolio with a Ratcheting Capital Benchmark
scientific article; zbMATH DE number 7371724

    Statements

    title
    Optimal Tracking Portfolio with a Ratcheting Capital Benchmark (English)
    0 references
    DOI
    10.1137/20M1348856
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    publication date
    15 July 2021
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    Mathematics Subject Classification ID
    91G10
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    93E20
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    60J70
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    zbMATH DE Number
    7371724
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    zbMATH Keywords
    nondecreasing capital benchmark
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    optimal tracking
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    running maximum cost
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    probabilistic representation
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    stochastic flow analysis
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    arXiv ID
    2006.13661
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    cites work
    Shortfall aversion
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    Q3808989
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    Q3959169
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    Q4002114
    0 references
     
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