Asset Management with TEV and VaR;Constraints: the Constrained Efficient;Frontiers
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References listed on IDEAS
- Philippe Bertrand, 2010.
"Another Look at Portfolio Optimization under Tracking-Error Constraints,"
- Philippe Bertrand, 2010. "Another Look at Portfolio Optimization under Tracking-Error Constraints," Post-Print hal-01833085, HAL.
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More about this item
Keywordsasset allocation; efficient portfolio frontiers; tracking error volatility; value at risk;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-10-18 (All new papers)
- NEP-CSE-2013-10-18 (Economics of Strategic Management)
- NEP-RMG-2013-10-18 (Risk Management)
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