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Optimal portfolio selection and dynamic benchmark tracking

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  • Gaivoronski, Alexei A.
  • Krylov, Sergiy
  • van der Wijst, Nico
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    File URL: http://www.sciencedirect.com/science/article/B6VCT-4BY3SHX-1/2/5ca684958bda1673cf5eea1ea961485e
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    Bibliographic Info

    Article provided by Elsevier in its journal European Journal of Operational Research.

    Volume (Year): 163 (2005)
    Issue (Month): 1 (May)
    Pages: 115-131

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    Handle: RePEc:eee:ejores:v:163:y:2005:i:1:p:115-131

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    Web page: http://www.elsevier.com/locate/eor

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    Cited by:
    1. Marina Di Giacinto & Salvatore Federico & Fausto Gozzi & Elena Vigna, 2012. "Income drawdown option with minimum guarantee," Carlo Alberto Notebooks 272, Collegio Carlo Alberto.
    2. Giulio PALOMBA & Luca RICCETTI, 2011. "Portfolio Frontiers with Restrictions to Tracking Error Volatility and Value at Risk," Working Papers 358, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    3. Chu, Ba & Knight, John & Satchell, Stephen, 2011. "Large deviations theorems for optimal investment problems with large portfolios," European Journal of Operational Research, Elsevier, Elsevier, vol. 211(3), pages 533-555, June.
    4. Canakgoz, N.A. & Beasley, J.E., 2009. "Mixed-integer programming approaches for index tracking and enhanced indexation," European Journal of Operational Research, Elsevier, Elsevier, vol. 196(1), pages 384-399, July.
    5. Lioui, Abraham & Poncet, Patrice, 2013. "Optimal benchmarking for active portfolio managers," European Journal of Operational Research, Elsevier, Elsevier, vol. 226(2), pages 268-276.
    6. Füss, Roland & Miebs, Felix & Trübenbach, Fabian, 2014. "A jackknife-type estimator for portfolio revision," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 14-28.
    7. Benati, Stefano & Rizzi, Romeo, 2007. "A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem," European Journal of Operational Research, Elsevier, Elsevier, vol. 176(1), pages 423-434, January.
    8. Diana Barro & Elio Canestrelli, 2012. "Downside risk in multiperiod tracking error models," Working Papers 2012_17, Department of Economics, University of Venice "Ca' Foscari".
    9. Singer, Nico, 2010. "Safety-first portfolio optimization: Fixed versus random target," Thuenen-Series of Applied Economic Theory 113, University of Rostock, Institute of Economics.
    10. James Primbs & Chang Sung, 2008. "A Stochastic Receding Horizon Control Approach to Constrained Index Tracking," Asia-Pacific Financial Markets, Springer, vol. 15(1), pages 3-24, March.

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