Tracking error with minimum guarantee constraints
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KeywordsMinimum guarantee; benchmark; tracking error; dynamic asset allocation; scenario;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-11-25 (All new papers)
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