The dual approach to portfolio evaluation: a comparison of the static, myopic and generalized buy-and-hold strategies

DOI10.1080/14697681003712870zbMath1210.91122OpenAlexW2027859336MaRDI QIDQ2994856

Ashish Jain, Martin B. Haugh

Publication date: 29 April 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697681003712870

zbMATH Keywords

dualityportfolio optimizationgeneralized buy-and-hold strategy

Mathematics Subject Classification ID

Duality theory (optimization) (49N15) Portfolio theory (91G10)

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Consistent Pricing of Options on Leveraged ETFs ⋮ A note on constant proportion trading strategies ⋮ Linear Programming and the Control of Diffusion Processes ⋮ Optimal mix between pay-as-you-go and funding for DC pension schemes in an overlapping generations model ⋮ On multiobjective combinatorial optimization and dynamic interim hedging of efficient portfolios

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