Across-time risk-aware strategies for outperforming a benchmark

Cites Work

Title not available (Why is that?)
A Jump-Diffusion Model for Option Pricing
Exploring the benchmarks of the Taiwanese investment trust corporations: management and investment efficiency perspectives
Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
Portfolio selection based on a benchmark process with dynamic value-at-risk constraints
A benchmarking approach to optimal asset allocation for insurers and pension funds
Optimal portfolio selection and dynamic benchmark tracking
Subsampling
Continuous-time mean-variance portfolio selection: a stochastic LQ framework
Portfolio management with benchmark related incentives under mean reverting processes
Communication and personal selection of pension saver's financial risk
Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
Portfolio optimization for an investor with a benchmark
Benchmark-based evaluation of portfolio performance: a characterization
Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection
Risk-Constrained Dynamic Active Portfolio Management
Risk Management with Benchmarking
Deep-Learning Solution to Portfolio Selection with Serially Dependent Returns
Tracking a Financial Benchmark Using a Few Assets
Risk-sensitive benchmarked asset management
The Stationary Bootstrap
Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management
Stochastic portfolio theory optimization and the origin of rule-based investing
Reaching goals by a deadline: digital options and continuous-time active portfolio management
Lévy Processes and Stochastic Calculus
On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies
Optimal Tracking Portfolio with a Ratcheting Capital Benchmark
Optimal asset allocation for outperforming a stochastic benchmark target
Machine Learning in Finance
Lasso-based simulation for high-dimensional multi-period portfolio optimization
Deep Neural Networks Algorithms for Stochastic Control Problems on Finite Horizon: Convergence Analysis
Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies
Block bootstrap methods and the choice of stocks for the long run
Option pricing when underlying stock returns are discontinuous
Applied stochastic control of jump diffusions
Optimal investment with minimum performance constraints
The impact of bootstrap methods on time series analysis
On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging
Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach