PORTFOLIO OPTIMIZATION WITH PERFORMANCE RATIOS

DOI10.1142/S0219024919500225zbMath1422.91657OpenAlexW2951437293WikidataQ127772636 ScholiaQ127772636MaRDI QIDQ5234010

Chengguo Weng, Hongcan Lin, David Saunders

Publication date: 9 September 2019

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024919500225

zbMATH Keywords

stochastic controlportfolio optimizationperformance ratiomartingale method

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

Related Items (2)

Portfolio performance under benchmarking relative loss and portfolio insurance: From omega ratio to loss aversion ⋮ Optimal management of DC pension fund under the relative performance ratio and VaR constraint

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• BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME

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