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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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  • Gaivoronski, Alexei A. & Krylov, Sergiy & van der Wijst, Nico, 2005. "Optimal portfolio selection and dynamic benchmark tracking," European Journal of Operational Research, Elsevier, vol. 163(1), pages 115-131, May.
    • Handle: RePEc:eee:ejores:v:163:y:2005:i:1:p:115-131
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    References listed on IDEAS

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    1. Kenneth J. Worzel & Christiana Vassiadou-Zeniou & Stavros A. Zenios, 1994. "Integrated Simulation and Optimization Models for Tracking Indices of Fixed-Income Securities," Operations Research, INFORMS, vol. 42(2), pages 223-233, April.
    2. Alexei Gaivoronski & Petter de Lange, 2000. "An Asset Liability Management Model for Casualty Insurers: Complexity Reduction vs. Parameterized Decision Rules," Annals of Operations Research, Springer, vol. 99(1), pages 227-250, December.
    3. Gaivoronski, A & Stella, F, 2000. "Nonstationary Optimization Approach for Finding Universal Portfolios," MPRA Paper 21913, University Library of Munich, Germany.
    4. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    5. G. Consigli & M. Dempster, 1998. "Dynamic stochastic programmingfor asset-liability management," Annals of Operations Research, Springer, vol. 81(0), pages 131-162, June.
    6. Gaivoronski, Alexei A. & Stella, Fabio, 2003. "On-line portfolio selection using stochastic programming," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 1013-1043, April.
    7. Alexei Gaivoronski & Fabio Stella, 2000. "Stochastic Nonstationary Optimization for Finding Universal Portfolios," Annals of Operations Research, Springer, vol. 100(1), pages 165-188, December.
    8. N. J. Jobst & M. D. Horniman & C. A. Lucas & G. Mitra, 2001. "Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints," Quantitative Finance, Taylor & Francis Journals, vol. 1(5), pages 489-501.
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