Active portfolio management with benchmarking: adding a value-at-risk constraint

DOI10.1016/j.jedc.2007.03.005zbMath1181.91288OpenAlexW2026738420MaRDI QIDQ844612

Gordon J. Alexander, Alexandre M. Baptista

Publication date: 19 January 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2007.03.005

zbMATH Keywords

benchmarkingportfolio choicerisk managementtracking errorVaR

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites Work

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