Risk Minimizing Strategies for Tracking a Stochastic Target

DOI10.1007/978-3-642-36062-6_19zbMath1266.91122OpenAlexW1453803830MaRDI QIDQ4927277

Andrzej Palczewski

Publication date: 19 June 2013

Published in: IFIP Advances in Information and Communication Technology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-36062-6_19

zbMATH Keywords

stochastic targetoptimal portfoliosbenchmark tracking

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)

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