Risk Management with Benchmarking
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- Suleyman Basak & Alex Shapiro & Lucie Teplá, 2006. "Risk Management with Benchmarking," Management Science, INFORMS, vol. 52(4), pages 542-557, April.
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More about this item
Keywords
benchmarking; investments; shortfall risk; tracking error; value-at-risk;All these keywords.
JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- 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 fields
This paper has been announced in the following NEP Reports:- NEP-BEC-2005-09-29 (Business Economics)
- NEP-FMK-2005-09-29 (Financial Markets)
- NEP-RMG-2005-09-29 (Risk Management)
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