Dynamic tracking error with shortfall control using stochastic programming
Download full text from publisher
References listed on IDEAS
- Domenico Cuoco & Hua He & Sergei Isaenko, 2008.
"Optimal Dynamic Trading Strategies with Risk Limits,"
INFORMS, pages 358-368.
- Domenico Cuoco & Hua He & Sergei Issaenko, 2001. "Optimal Dynamic rading Strategies with Risk Limits," FAME Research Paper Series rp60, International Center for Financial Asset Management and Engineering.
- Domenico Cuoco & Hua He & Sergei Isaenko, 2004. "Optimal Dynamic Trading Strategies with Risk Limits," Yale School of Management Working Papers amz2567, Yale School of Management.
- Bertsimas, Dimitris & Lauprete, Geoffrey J. & Samarov, Alexander, 2004. "Shortfall as a risk measure: properties, optimization and applications," Journal of Economic Dynamics and Control, Elsevier, vol. 28(7), pages 1353-1381, April.
- Diana Barro & Elio Canestrelli, 2009. "Tracking error: a multistage portfolio model," Annals of Operations Research, Springer, vol. 165(1), pages 47-66, January.
- Udo Ebert, 2005. "Measures of downside risk," Economics Bulletin, AccessEcon, vol. 4(16), pages 1-9.
- repec:ebl:ecbull:v:4:y:2005:i:16:p:1-9 is not listed on IDEAS
- Rudolf, Markus & Wolter, Hans-Jurgen & Zimmermann, Heinz, 1999. "A linear model for tracking error minimization," Journal of Banking & Finance, Elsevier, vol. 23(1), pages 85-103, January.
- Alexander, Gordon J. & Baptista, Alexandre M., 2006. "Portfolio selection with a drawdown constraint," Journal of Banking & Finance, Elsevier, vol. 30(11), pages 3171-3189, November.
- M. A. H. Dempster & M. Germano & E. A. Medova & M. I. Rietbergen & F. Sandrini & M. Scrowston, 2007. "Designing minimum guaranteed return funds," Quantitative Finance, Taylor & Francis Journals, vol. 7(2), pages 245-256.
- W. Michalowski & W. Ogryczak, 1998. "Extending the MAD Portfolio Optimization Model to Incorporate Downside Risk Aversion," Working Papers ir98041, International Institute for Applied Systems Analysis.
- Hiroshi Konno & Hiroaki Yamazaki, 1991. "Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market," Management Science, INFORMS, vol. 37(5), pages 519-531, May.
More about this item
KeywordsDynamic portfolio optimization; Tracking error; Shortfall;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-08-23 (All new papers)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ven:wpaper:2012_18. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Geraldine Ludbrook). General contact details of provider: http://edirc.repec.org/data/dsvenit.html .