Optimal portfolio allocations with tracking error volatility and stochastic hedging constraints
DOI10.1080/14697688.2011.589401zbMath1284.91510OpenAlexW2063677826MaRDI QIDQ2871414
R. Portait, Guillaume Tergny, Isabelle Bajeux-Besnainou
Publication date: 23 January 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2011.589401
portfolio optimizationtracking errorasset allocationasset managementcontinuous time financestochastic hedging constraints
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10)
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