Sercu, Piet; Vanpée, Rosanne - 2007
, in a \data-based" approach, benchmark portfolio weights can be calculated
from a mean-variance optimization problem with …
budget constraint. Speciflcally, the optimization problem is:
V(wjt;st) = max
cjt;xjt
[(cjt)(1¡ ) +flEt(V(wjt+1;st+1)1¡ )(1 …