BEATING A CONSTANT WEIGHT BENCHMARK: EASIER DONE THAN SAID
From MaRDI portal
Publication:6141906
DOI10.1142/s0219024923500115OpenAlexW4383040765MaRDI QIDQ6141906
Yuying Li, Pieter M. Van Staden, Peter A. I. Forsyth
Publication date: 23 January 2024
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024923500115
Cites Work
- A Jump-Diffusion Model for Option Pricing
- Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
- Nonparametric tests for pathwise properties of semimartingales
- De-risking defined benefit plans
- Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
- On efficiency of mean–variance based portfolio selection in defined contribution pension schemes
- Risk-Constrained Dynamic Active Portfolio Management
- Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management
- Stochastic portfolio theory optimization and the origin of rule-based investing
- An unconditionally monotone numerical scheme for the two-factor uncertain volatility model
- Financial Modelling with Jump Processes
- Optimal asset allocation for outperforming a stochastic benchmark target
- A Stochastic Control Approach to Defined Contribution Plan Decumulation: “The Nastiest, Hardest Problem in Finance”
- Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach
This page was built for publication: BEATING A CONSTANT WEIGHT BENCHMARK: EASIER DONE THAN SAID
