Active portfolio management with benchmarking: adding a value-at-risk constraint
type: Item
instance of: scholarly article
title: Active portfolio management with benchmarking: adding a value-at-risk constraint
zbMATH Open document ID: 1181.91288
author: Gordon J. Alexander
author: Alexandre M. Baptista
publication date: 2010-01-19T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 5660225
zbMATH Keywords: benchmarking
zbMATH Keywords: VaR
zbMATH Keywords: tracking error
zbMATH Keywords: portfolio choice
zbMATH Keywords: risk management
MaRDI profile type: Publication
full work available at URL: j.jedc.2007.03.005
OpenAlex ID: W2026738420
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DOI: 10.1016/J.JEDC.2007.03.005
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 5660225