Showing 1 - 10 of 26
We determine a simple dynamic benchmark for asset allocation by solving an optimal stochastic control problem for outperforming the traditional constant proportion benchmark. An objective function based on a time averaged quadratic deviation from an elevated benchmark is proposed. We argue that...
Persistent link: https://www.econbiz.de/10014497157
Persistent link: https://www.econbiz.de/10011983588
Persistent link: https://www.econbiz.de/10012110505
Persistent link: https://www.econbiz.de/10011808570
Persistent link: https://www.econbiz.de/10011951760
Persistent link: https://www.econbiz.de/10011974221
Persistent link: https://www.econbiz.de/10009515156
Persistent link: https://www.econbiz.de/10009515165
Persistent link: https://www.econbiz.de/10003569409
Persistent link: https://www.econbiz.de/10014463356