Related references
Note: Only part of the references are listed.On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging
Russell Gerrard et al.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2023)
Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach
Pieter M. Van Staden et al.
SIAM JOURNAL ON FINANCIAL MATHEMATICS (2023)
Stocks for the long run? Evidence from a broad sample of developed markets
Aizhan Anarkulova et al.
JOURNAL OF FINANCIAL ECONOMICS (2022)
Multi-Asset Class Factor Premix: A Strategic Asset Allocation Perspective
Stefano Cavaglia et al.
JOURNAL OF PORTFOLIO MANAGEMENT (2022)
Sharpe Parity Redux
Joseph Simonian et al.
JOURNAL OF PORTFOLIO MANAGEMENT (2022)
Optimal asset allocation for outperforming a stochastic benchmark target
C. H. E. N. D. I. NI et al.
QUANTITATIVE FINANCE (2022)
The benchmark inclusion subsidy
Anil K. Kashyap et al.
JOURNAL OF FINANCIAL ECONOMICS (2021)
Active and passive portfolio management with latent factors
A. Al-Aradi et al.
QUANTITATIVE FINANCE (2021)
On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies
Pieter M. van Staden et al.
SIAM JOURNAL ON FINANCIAL MATHEMATICS (2021)
OPTIMAL TRACKING PORTFOLIO WITH A RATCHETING CAPITAL BENCHMARK
Lijun Bo et al.
SIAM JOURNAL ON CONTROL AND OPTIMIZATION (2021)
Portfolio selection with active strategies: how long only constraints shape convictions
Charles-Albert Lehalle et al.
JOURNAL OF ASSET MANAGEMENT (2021)
DEEP NEURAL NETWORKS ALGORITHMS FOR STOCHASTIC CONTROL PROBLEMS ON FINITE HORIZON: CONVERGENCE ANALYSIS
Come Hure et al.
SIAM JOURNAL ON NUMERICAL ANALYSIS (2021)
Lasso-based simulation for high-dimensional multi-period portfolio optimization
Zhongyu Li et al.
IMA JOURNAL OF MANAGEMENT MATHEMATICS (2020)
A deep Q-learning portfolio management framework for the cryptocurrency market
Giorgio Lucarelli et al.
NEURAL COMPUTING & APPLICATIONS (2020)
Tracking error vs tracking difference: Does it matter?
Ailie Charteris et al.
INVESTMENT ANALYSTS JOURNAL (2020)
An intelligent financial portfolio trading strategy using deep Q-learning
Hyungjun Park et al.
EXPERT SYSTEMS WITH APPLICATIONS (2020)
Deep-Learning Solution to Portfolio Selection with Serially Dependent Returns
Ka Ho Tsang et al.
SIAM JOURNAL ON FINANCIAL MATHEMATICS (2020)
Communication and personal selection of pension saver's financial risk
Russell Gerrard et al.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2019)
Portfolio management with benchmark related incentives under mean reverting processes
Marco Nicolosi et al.
ANNALS OF OPERATIONS RESEARCH (2018)
Portfolio selection based on a benchmark process with dynamic value-at-risk constraints
Qingye Zhang et al.
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS (2017)
Dynamic mean variance asset allocation: Tests for robustness
Peter A. Forsyth et al.
INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING (2017)
A Wealth Management Perspective on Factor Premia and the Value of Downside Protection
Louis Scott et al.
JOURNAL OF PORTFOLIO MANAGEMENT (2017)
Better than pre-commitment mean-variance portfolio allocation strategies: A semi-self-financing Hamilton-Jacobi-Bellman equation approach
D. M. Dang et al.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2016)
Exploring the benchmarks of the Taiwanese investment trust corporations: Management and investment efficiency perspectives
Wen-Min Lu et al.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2016)
Testing rebalancing strategies for stock-bond portfolios across different asset allocations
Hubert Dichtl et al.
APPLIED ECONOMICS (2016)
Benchmark-based evaluation of portfolio performance: a characterization
Aleksandr G. Alekseev et al.
ANNALS OF FINANCE (2016)
Stochastic portfolio theory optimization and the origin of rule-based investing
Gianluca Oderda
QUANTITATIVE FINANCE (2015)
A five-factor asset pricing model
Eugene F. Fama et al.
JOURNAL OF FINANCIAL ECONOMICS (2015)
Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection
C. Bernard et al.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2014)
Portfolio optimization for an investor with a benchmark
R. Korn et al.
DECISIONS IN ECONOMICS AND FINANCE (2014)
Block bootstrap methods and the choice of stocks for the long run
Philippe Cogneau et al.
QUANTITATIVE FINANCE (2013)
Risk-sensitive benchmarked asset management
Mark Davis et al.
QUANTITATIVE FINANCE (2008)
A dynamic model of active portfolio management with benchmark orientation
Yonggan Zhao
JOURNAL OF BANKING & FINANCE (2007)
Tracking a financial benchmark using a few assets
DD Yao et al.
OPERATIONS RESEARCH (2006)
Optimal portfolio selection and dynamic benchmark tracking
AA Gaivoronski et al.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2005)
The impact of bootstrap methods on time series analysis
DN Politis
STATISTICAL SCIENCE (2003)
Optimal investment with minimum performance constraints
L Teplá
JOURNAL OF ECONOMIC DYNAMICS & CONTROL (2001)
Risk-constrained dynamic active portfolio management
S Browne
MANAGEMENT SCIENCE (2000)
Continuous-time mean-variance portfolio selection: A stochastic LQ framework
XY Zhou et al.
APPLIED MATHEMATICS AND OPTIMIZATION (2000)