Safety-first portfolio optimization: Fixed versus random target
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References listed on IDEAS
- Suleyman Basak & Alex Shapiro & Lucie Teplá, 2006. "Risk Management with Benchmarking," Management Science, INFORMS, vol. 52(4), pages 542-557, April.
- 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.
- Das, Sanjiv & Markowitz, Harry & Scheid, Jonathan & Statman, Meir, 2010. "Portfolio Optimization with Mental Accounts," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(02), pages 311-334, April.
- Robert Bordley & Marco LiCalzi, 2000. "Decision analysis using targets instead of utility functions," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 23(1), pages 53-74.
- Sid Browne, 2000. "Risk-Constrained Dynamic Active Portfolio Management," Management Science, INFORMS, vol. 46(9), pages 1188-1199, September.
- Shefrin, Hersh & Statman, Meir, 2000. "Behavioral Portfolio Theory," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(02), pages 127-151, June.
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- Singer, Nico, 2011. "A behavioral portfolio analysis of retirement portfolios," Thuenen-Series of Applied Economic Theory 104, University of Rostock, Institute of Economics.
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Keywordssafety-first; portfolio optimization; random target; benchmarking;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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