Dynamic Tracking Error with Shortfall Control Using Stochastic Programming

DOI10.1007/978-3-319-02499-8_4zbMath1418.91449OpenAlexW1562047411MaRDI QIDQ4561899

Diana Barro, Elio Canestrelli

Publication date: 13 December 2018

Published in: Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10278/37869

zbMATH Keywords

portfolio managementportfolio selectiontracking errormean absolute deviationrisky asset

Mathematics Subject Classification ID

Stochastic programming (90C15) Portfolio theory (91G10)

Cites Work

• Optimal portfolio selection and dynamic benchmark tracking
• Shortfall as a risk measure: properties, optimization and applications
• Tracking error: a multistage portfolio model
• The practice of portfolio replication. A practical overview of forward and inverse problems
• Asymmetric risk measures and tracking models for portfolio optimization under uncertainty
• Robust optimization-methodology and applications
• Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
• Extending the MAD portfolio optimization model to incorporate downside risk aversion
• Optimal Dynamic Trading Strategies with Risk Limits
• Designing minimum guaranteed return funds
• The Price of Robustness
• DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
• Technical Note—“Linear” Programming with Absolute-Value Functionals

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