Optimal Tracking Portfolio with a Ratcheting Capital Benchmark
From MaRDI portal
Publication:5000625
DOI10.1137/20M1348856zbMath1468.91133arXiv2006.13661MaRDI QIDQ5000625
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Publication date: 15 July 2021
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2006.13661
probabilistic representationoptimal trackingnondecreasing capital benchmarkrunning maximum coststochastic flow analysis
Optimal stochastic control (93E20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10)
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