We develop an analytical framework that enables investors who use gain and loss based performance measures to evaluate and compare investment strategies or managers, to do so in a more precise manner that accounts for statistical uncertainty and sampling error. In particular, we develop tests...

Active portfolio management is concerned with objectives related to the outperformance of the return of a target benchmark portfolio. In this paper, we consider a dynamic active portfolio management problem where the objective is related to the tradeoff between the achievement of performance...

We study stochastic dynamic investment games in continuous time between two investors (players) who have available two different, but possibly correlated, investment opportunities. There is a single payoff function which depends on both investors' wealth processes. One chooses a dynamic...

We study the optimal behavior of an investor who is forced to withdraw funds continuously at a fixed rate per unit time (e.g., to pay for a liability, to consume, or to pay dividends). The investor is allowed to invest in any or all of a given number of risky stocks, whose prices follow...

We study a variety of optimal investment problems for objectives related to attaining goals by a fixed terminal time. We start by finding the policy that maximizes the probability of reaching a given wealth level by a given fixed terminal time, for the case where an investor can allocate his...

Active portfolio management is concerned with objectives related to the outperformance of the return of a target benchmark portfolio. In this paper, we consider a dynamic active portfolio management problem where the objective is related to the tradeoff between the achievement of performance...