Optimal portfolio selection and dynamic benchmark tracking

DOI10.1016/j.ejor.2003.12.001zbMath1066.91040OpenAlexW2029462806MaRDI QIDQ704069

Sergiy Krylov, Nico van der Wijst, Alexei A. Gaivoronski

Publication date: 12 January 2005

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2003.12.001

zbMATH Keywords

Transaction costsPortfolio selectionBenchmark followingIndex trackingPortfolio replicationRisk measures

Mathematics Subject Classification ID

Related Items (35)

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Cites Work

• On-line portfolio selection using stochastic programming
• Dynamic stochastic programming for asset-liability management
• Integrated Simulation and Optimization Models for Tracking Indices of Fixed-Income Securities
• Introduction to Stochastic Programming
• Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints
• Bicriteria Optimization Problem of Designing an Index Fund
• An asset liability management model for casualty insurers: Complexity reduction vs. parameterized decision rules
• Stochastic nonstationary optimization for finding universal portfolios
• Integrated simulation and optimization models for tracking international fixed income indices
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